what kind of gorgonian do you have? Orange gorgonians will sometimes close up for days at a time with no ill effects. Yellow gorgonians are often more active, but even they will close up for a while if they feel like it. Also, many gorgonians are active when the tank lights are off more than during the day, so it may be that your new gorgonian is feeding while you're sleeping. Finally, stress factors are a big issue with gorgonians. When I got my first yellow G. it took almost a full week for it to open up, and that was just from a trip from the LFS. I can imagine that a shipping trip would be more stressful.
Personally I wouldn't worry too much yet. Are you dosing phytoplankton? If not, try a dose or two and see if it stimulates their filter response. Good luck!