I always wondered why Blue Rhino was so willing to take "any cylinder" in exchange. For every cylinder they can take off the market, that's one less refillable cylinder competing with them and one more of their proprietary "exchange only" cylinders out there.
The cylinders are known to be "proprietary" the refill guy is on the level about being unable to put gas in it. See, for example,
I wonder if the founders of Blue Rhino had some sort of "in" with the NFPA -- resulting in the 2002 adoption of the "overfill prevention valve" regulation, and the immediate obsolescence of millions of cylinders. This has shaken up the propane cylinder industry enough to allow them to move in with their "lock them in" scheme before people realized what was happening. I know I almost got caught by this myself when my old cylinder got hit by the OPD rule.
You have the following options:
1) Keep exchanging the cylinder and enjoy the "convenience" but pay 2 to 3x the price.
2) Revalve the cylinder with a normal valve. This takes at least a tank wrench and the valves are probably not cheap in unit quantities.
3) De-valve the cylinder, and use it for refilling tires or a fishing float or whatever.
4) Paint Billy Prim's face on the cylinder, shoot a hole between the eyes, and mail it back to Blue Rhino. At least this will take the thing out of circulation. Buy a normal refillable cylinder for $18.00 or so at Home Depot.
5) Keep the empty Blue Rhino at the back of the garage and exchange it at the grocery store only when you need propane at 8:00 on a Sunday or whatever.