Should I quit if I'm having problems with the Marie Curie industry partner?
I would not quit a MCS fellowship. Either you solve the problem with the industry partner, maybe by collaborating with another person or unit (if possible), or try to minimize as much as possible their importance in your project. Usually secondments are a nice addition but a MCS project should stand on its own even without the secondment.

You could also try to reach out to someone in the Horizon2020 and see if they have a person that can help with this kind of problem. In the meantime I would also gather some proofs that you can use to build your case. In the worst case you will have to justify to H2020/EU why the secondment was not useful/successful.

PS: how to improve the working relationship with industry partner seems more a question for another Stack.