If it’s a cocktail you ordered off the cocktail menu, then absolutely it’s rude to send it back requesting a different glass. Restaurants and bars put a lot of thought into the glassware they use for their drinks. If you aren’t a fan of that glassware, you should probably order something else.
If, however, you’ve ordered something off-menu and requested a classic cocktail that calls for a specific glass, before you send it back, ask politely as to why the drink wasn’t served in the glass that’s normally called for. It’s possible the place you’re choosing to have a drink at doesn’t have that specific glass, or maybe they like being different. Before you complain, give them the benefit of the doubt that the glass was intentional. If it wasn’t, having a polite conversation with the server or bartender will probably result in what you’re after: switching out the glass for the one you prefer.
No one enjoys serving someone who acts as if they know more than the person making their drinks. Be polite, courteous, and kind, and both you and the bartender are bound to have a great experience.