Oh no, you need to see your ob/gyn. These things come with risks and you need to be checked out. I am not sure how this device is supposed to keep you from needing a hysterectomy but bleeding and the symptoms you describe warrant medical intervention, now.
I didn't know the Murena could replace a hysterectomy. That doesn't sound right to me, but then again, I'm no Dr. I agree with teko, you definitely need to see your OBGYN and maybe have him/her check to make sure it's still in place. Also, if the string is cutting his penis, could it be possible that the blood is coming from him and not you?