I've not had that specific sequence of events, however, I do know that once they transfer you to another airline, your reservation does get canceled. When that's come up in my case, however, the agents were very clear about this before processing the change, so I knew there were no take-backs. My suspicion is that when you asked for the transfer to UAL, the agent first canceled the remainder of your current itinerary, then worked on the UAL booking rather than the other way around.

My suggestion would be to reach out to Delta either by phone or Twitter: it's not been my experience that DL would leave a customer hanging like that. In fact, I did at one point have DL "take back" a change because I realized the rebooking was never going to work (it involved an international flight and getting to an airport 2 1/2 hours away without traffic for a flight departing in 3 1/2 hours.) Delta is usually very, very good with IROPS, it sounds to me like yours just got mishandled.