I'm sorry to hear that. Was the girdle very thin to begin with? If so, there are a few options. One is to polish out the chip as well as get the girdle faceted to thin or medium at the same time. Alternatively, you can bezel the stone. Option 1 will allow you to enjoy your current setting.
Yes, the risk is there if the girdle is extremely thin. If I bought a stone with a girdle that was very thin. I would either set in a bezel or do the girdle rehab to make it less thin. But maybe yours isn't since it didn't come up before you had it set? Does it have a GIA report?