You did buy the wrong version. However, there's probably still some way to convert it to DVD that I don't know about. Fortunately the MPEG version of this is pretty good quality.
However, this brings back a question I had back when they did Santa and the Ice Cream Bunny (and to which Conor basically answered "I don't know" IIRC): Why are there separate VoD and D2B options in the first place? For $10 it seems like we should get every option. I'm too impatient to wait for the D2B to download, but I'm always torn when it comes to the decision of buying the lower quality version instead to get it sooner (which is what I almost always do).