Artificial Horizon,
In my opinion you did a very good move. You used all the available resources to handle the situation and ATC in a radar environment is a very useful tool. As a Captain you are responsible for the safest course of actions. Is it safe to ask for radar vectors ? Yes, obviously if you know where you are going. Is it safe to have at least another couple of eyes looking at you from the ground and ready anytime to give you what you need ? Yes. Is it safe to have someone telling you "according to my radar you're not going where you want to, check your navigation" ? Yes.
So where's the problem ?
Cheers.