You are legally due a refund as until you have flown Delta can't book the revenue and they owe the money back to you if they cannot fly you. Delta will do this also because they won't pay AZ until you have flown so if AZ ceased to operate there's no cost to DL in providing you with a refund. If you ticketed with AZ you'd be on the list of creditors for liquidation proceedings but the chance of getting any money back in that case is pretty slim.
Alternative routing is not a legal right but most likely they will do it so long as they have their/AF/KL metal to the destination you need.