If it is this and other things then sure, I would recommend exchanging the phone. If this is the one thing not working, it is probably a problem with that particular card and this model phone, not your particular phone. A replacement phone is likely going to still not work. I have years of experience with different memory cards in many different models of electronics and sometimes some brands of cards just don't work in certain models. Replacements sometimes just cannot fix a compatibility problem. Most people today don't understand how all this stuff works such as ports, irq, and all that stuff. They just expect everything to always work (plug and play). Well, it works well most of the time, but nothing is 100%.
This is why I suggested to try a different card before sending the phone back. That is assuming there are not other problems that are not related to the SD card.