Weight rust
Pretty common on sea ponies - yup pop a non treated metal object inside a toy thats designed to go in bath water...*head desk Hasbro*
As long as the weight and the inside of the pony is completely dry and the pony is never going to be any where wet or humid, you can pop the weight back in. Alternatively you can replace it inside the pony with some thing like marbles for the weight and balance. And just keep the weight to add back in in case you decide to sell
Congrats on your first sea pony! They are so pretty.