Well I do not know a lot about India, but although it may be illegal to import wild caught birds, I do know that it does happen quite a bit there. It could also be that the first bird was parent raised and not socialized.
I am sorry that you felt the need to exchange him, but I hope that this works out for the best. Please keep us informed and know that we will be here to help you and your bird any time you need it. Also that we do like to hear about you and your bird even when there is no problems.