How can my address could be wrong if i made all that in the "Exchange" field? If i was transfering btc to ETH, if for any reason the transaction fails, the money should return to where it started. 
Directly speaking you are trying to convert your BTC to ETH but turns out that blockchain said that you don't have valid return address which I do see that you would need to input your btc address. I'm not sure on this thing and do confuse me regarding on your situation because its quiet odd that they didn't recognize your btc address that you used on sending those amounts to be converted. I don't know the system on conversion on blockchain though but saying sending on BTC to ETH is not really possible.