For people in the UK: how do people usually deal with this sort of stuff, in Sweden the seller is completely responsible, is Amazon actually expecting me to deal directly with thrustmaster?
In the UK we are protected by the Sale of Goods Act. Basically, if a product fails (within the first six months) then it is deemed as faulty from purchase and you are entitled to a full refund or new replacement. The seller is the point of contact/contract (never get fobbed off with dealing direct with the manufacturer). You should only need to contact the seller and request that they arrange collection of the item. They are required to pay for shipping.
Of course, this is in the UK. Since you bought it outside of the UK then you are not covered by this directly.