I don't thnk they're obligated to reroute on another carrier to LGW. They provided service to the same city, and there's effectively no easy re-route give the paucity of ST carriers at LGW. (The now cancelled LGW flight got in rather early as far as TATLs go, so getting a comparable time by routing on DL ober the water and then BA or LH or someone else into LGW is likely infeasible if OP needs a close match in arrival time.) OP is entitled to a refund if the new flights aren't suitable, but I don't see what requires them to do more.