Mines is slightly different in that I actually received a cancellation email of my flight segments, but the actual flights were just delayed. I even took a picture of an email Ground Ops sent to BRU contractors saying the flight left way too late and do not board a large list of people.
From http://europa.eu/youreurope/citizens/travel/passenger-rights/air/index_en.htm "If your flight is cancelled you have the right to
reimbursement, re-routing or return, as well as the right to
assistance and a right to
compensation." The way I read this is compensation and refund are two different things in a cancellation case. I think in case of a delay it may just be compensation.