Welcome to the forum, Tracy!
A standard RCA cable will work fine for that digital audio connection, so that's not the problem. It's entirely possible that the converter is defective, and Amazon is really good about exchanging items. Whenever there is a problem like this, just keep in mind that it could be due to anything involved having an issue: your receiver, the blu-ray player, the cables, or the converter. If you haven't already, you could try another input on the receiver to make sure that it wasn't that connection that went bad. Cables do have connectors go bad (from the internal solder connections failing where the wires attach to the end connectors), although I doubt that happened here. The blu-ray player might have a bad output, too. All of that said, I tend to agree with you that it's the converter and that you should exchange it for a new one.