It wouldn't be a security issue. However, depending on what you are trying to download to the card, and how you are trying to download it, then that could be your problem.
It isn't the main phone download settings you would have to change but the settings within the individual apps you are using to download. You would have to change the location for downloads in those settings for it to work. Also, this wouldn't work for apps.
If you are setting it up that way, and it still isn't working, then yes I would contact the manufacturer. As long as it is still under warranty.
Just a word to the wise, back up anything you want/need from the device before you send it, and remove anything you don't want anyone to access.