United never ticketed your reservation, thus there was no ticket to cancel. This happens more on exotic international tickets with partner airlines, but the bottom line is that until you have a ticket number - as opposed to a booking reservation, you don't have a valid contract with United. It sucks to find this out the way that you did, but if its any consolation, this snafu happens regularly to travelers who think they have completed a transaction with United.
How will your insurance work out? Will you be able to ge that insurance transferred to your new ticket?