USD 3,000 to fly Europe-US!
I know it was last minute, but did you inquire about the fare for a return flight? Most likely it would have been much cheaper than buying a o/w fare (and you could have ditched the return flight). No wonder none of the parties are keen on getting involved in this (and pick up the bill on this one)
Anyway, you need to deal with Exp about this. You have purchased your ticket from Exp and Exp should take this up with VA.
I doubt any EC Reg. 261/04 claims against AF will have any merits as apparently the ticket was never valid for the AF flight. Denied boarding under EC Reg. 261/04 requires a valid ticket on the day of departure.
Amending your DOT complaint to include Exp and VA? (sorry, but I'm not very familiar with DOT complaints).