You have the ability to mark responses as helpful, or if they solve your question. This is a user to user support forum, and Apple does not participate here. No one here are Apple employees and this is not Apple's Customer Service. Everyone here are users, just like you, and provide answers and other troubleshooting information to others.
Apple's decision to warn users of accessories that are not MFi, is an effort to protect user devices from damage when it comes to accessories that do not meet the standards of Apple's accessories. These include the adapter that you have purchased, accessories like lightning cables that can cause problems with batteries. I hope this helps you understand why you experienced this, and how to troubleshoot your Apple accessories. Apple provides warranty and support for their devices and accessories, and you very well may get your adapter replaced. Also, there are other headphone manufacturers that produce lightning connection headphones, and many other devices are turning to these types of headphones, which are digital as opposed to analog styles which we are used to connecting with a jack. I would say enjoy your iPhone as much as I do, but it seems you would rather change. Good luck with that decision as well.