When you say "there is absolutely no padding inside this helmet", there's absolutely NO padding whatsoever? Or does the padding feel too thin that it causes discomfort?
If it's the first case, then look to see if the pads are in the box somewhere (should've already been on the helmet, though). What you're looking for is 8 removable coolmax pads. If you don't find the pads, call Jenson (or even 661) and explain your situation. They'll send you a set of pads.
If it's the second case, as long as you haven't used the helmet, you should be able to send it back for an exchange. The problem with buying online is that you can't try on items conveniently. Helmets are one of those items where proper fit is crucial to the effectiveness of its feature: skull protection, as well as comfort, the lack of which can be a distraction and hindrance to your ride. Here's a suggestion: if you can, go to an lbs and try on different brands and sizes and find one that fits and is padded perfectly. If they offer the same model at Jenson, exchange the Bravo for that model. If not, get the helmet at your lbs and send the helmet back for store credit or exchange for other bike-related goodies. Unfortunately, the cost of sending the item back will come out of your pocket.