Yes, you should write and complain.

NO, DO NOT USE WESTERN UNION! Google them and read all the issues that pop up ...

I have used Ozforex many times to transfer cash. They are global (despite the name), owned by a very well-respected Australian bank which has huge infrastructure interests around the world, charge no fees if the amount to be transferred meets a minimum hurdle, and offer better rates than the banks. Win all round. They are regulated, and hence there are a few hoops to go through to register with them, but it's well worth it.

You also get to play currency trader -- you can track exchange rates in real time and choose the exact moment you want to exchange your currency, possibly benefitting from a few points difference in rate.