Send the letter only if you will file in SCC as soon as 24 hours ticks by.
Your action is solely against Expedia. If you were properly ticketed and AF denied boarding, Expedia can collect from AF (although you will in addition have an EC 261/2004 claim against AF for EUR 600 for IDB). If you were not properly ticketed, then AD properly denied boarding and Expedia still needs to make it right.
I would not make the EC 261/2004 claim until the Expedia claim is resolved as that may provide some visibility for you as to whether AF acted properly.
I would send a letter before action to Expedia giving it 10 days to make this right and then file in SCC on the 11th day. Providing 24 hours is a bit silly. Might as well just file now. But, since your goal is to prompt a refund of the $3K in the easiest & quickest form, make the demand.