UA doesn't fly FRA-DEN, so I believe the OP was booked on the LH flight to DEN in Prem. Economy - that would also fit with a 11:30 dept. from LUX.
Anyway, whilst the OP was indeed entitled to insist on a different routing with LH or another carrier with Prem. Economy, the OP didn't discuss this with the check-in agent at LUX but merely accepted to travel with Swiss via SFO. Whilst I understand that the OP was in a hurry to catch the Swiss flight, it would have taken the OP max 5 seconds to have a closer look at the BPs received from the check-in agent and realising that he was in Economy with Swiss to SFO. First after the Swiss flight had left the gate (i.e. travel had commenced) the OP became fully aware of his new itinerary and questioned it - but then it was too late as the OP had already accepted the new itinerary and travel was commenced.
So to sum up: This is not invol. downgrade (there is no downgrade because the OP was rebooked to new flights with Swiss and the OP traveled as ticketed for the Swiss flights) and the OP was too late in objecting to the new routing. I'm sorry, but any claim for refund of fare or compensation under EU Reg. 261/04 is bound to fail.