I too am disappointed by the lack of pdf navigation features (table of contents and clickable links within the document), but I certainly won't be sending my DX back.
It's still the best e-ink device out there for the money for viewing pdfs in their native form with a screen big enough to make that feasible (pan & zoom is just too slow for me on e-ink, so a 10" screen is mandatory).
The only other option out there is the iRex DS1000, but quality problems (both software and hardware) that I keep reading about make me uncomfortable, plus it's more expensive. The Plastic Logic reader looks very promising, but it won't be out until next year.
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