What Are The Side Effects Of Using IUD?

I am 24 y.o. female who had an IUD placed in December of 2008. I had no problems with the IUD until I recently could no longer feel the IUD strings. Since then, I have had moderate bleeding whenever I exercise or do physical activity. Before losing the strings, I never bled or had any problems with the IUD. I went to my doctor and she could not find the strings. She sent me to a gynecologist to have them look and to have an ultrasound done. The gynecologist said that the ultrasound shows that the IUD is still in place and that not feeling the strings is not a problem. Even with the abnormal bleeding, he said that it should be left in. I am concerned that his advice may not be the best. Should I ask for another consultation or have the IUD removed?