I cannot see why you would expect a refund. You booked DEN-ORD-GRR and were taken from DEN-GRR.
If you had been taken from DEN-ORD but then had to make your own way to GRR due to being late for flight at ORD, then you would be due a refund of ORD-GRR.
You got from origin to destination on a non stop service on UA when on an award ticket on AA; seems like you did quite well