https://www.delta.com/us/en/skymiles.../program-rules
This is what is in the program rules -- "Once travel has commenced on an Award ticket, the Award is considered used. Mileage will not be credited back to the account for the unused portion of the ticket."
However, they are still changeable after travel has commenced and unused fare components can be exchanged for higher or lower award fares (you just can't completely cancel them for a full refund). In the case where you exchanged the return award fare for a lower priced award fare, you were not actually getting a refund on unused portion of ticket as award ticket would still be fully used with the new exchanged award fare.