I wouldn't expect them to be refunded. You made the choice that the points earned were worth paying the FX charge, Amex did not force you to do this, I see no reason why they should refund the FX charges if you subsequently changed your mind - regardless of the reason.

Surely you can compare this to buying something online where you chose to pay postage/courier charges to get an item quicker, and subsequently decide you don't want the item - should the retailer refund those charges? No!