I'm confused- for warranty exchanges, you don't send back the defective device until you receive the new one? And most of the time, except in special circumstances, the physical exchange is supposed to take place in a store where the associates can assist with moving the SIM, contacts, etc.
I agree. This is unusually to not get the replacement device first. This wasn't a claim you filed through insurance was it? Were you given any shipping info about the device?