Definitely take it to the shop first.
I thought about bringing it back to them, and talking to the owner to tell them "Look, I bought this from your shop. I'm not seeking a refund or anything like that. I just want you to open this thing up, and tell me what failed so I know what happened."
Yet, somehow I think they will come back and tell me it wasn't their converter that failed, but something in the trans that failed.
Or I just cut the thing open myself and see what failed....