You most likely have some bugs eating the leaves. look closely at the leaves to see if you find any little critters. pictures always help.

btw Majesty palms are great palms, just not indoors lol

Thanks for your help. I haven't been able to find any bugs. I also tried tapping the leaves over a white sheet of paper and nothing. I was able to take a picture. Any thoughts?

when you bought the palm did it already have those slits in the leaves?
after seeing the picture it looks like wind damage. The leaves probably got tattered by strong winds.

You know, come to think of it, it may have had some small holes that have gotten bigger over time. Do you think that if it's under-watered that the holes would grow larger?

They holes definitely would grow larger if exposed to dry heat and under watering. They are no problem for your palm, just doesn't look very pretty.

Probably just some wind damage or damage from shipping. The new fronds should be fine! I agree with eric, sometimes dry heat and underwatering can worsen the holes in a similar way that the tips of fronds get brown when they are under watered or exposed to too much dryness.
Good luck!
-Alex