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.
I do not agree.
For the downgrade refund calculation only the orginal ticket (LH LUX-FRA-DEN) counts to determine in which original travel class the OP was booked in.
The travel class of the replacement ticket doesn't matter. It matters in which travel class the OP did end up in the end.
Even if can be argued that the OP accepted the rerouting, it doesn't forfeit his right for downgrade compensation.
If you line of argumentation is valid:
Each airline would circumvent the downgrade compensation by just cancelling the original ticket and issueing a new (lower travel class) ticket on a new flight. And because the new ticket is in the lower travel class, the passenger was not downgraded.
This won't fly in a court of law.