Yes, the alternative, that the contact agent should have offered (and you could have requested) is that BA can convert a EDI-LHR ticket to an LNER service. These aren't codeshares (unfortunately) but simply replaces the air carrier with the rail company. I have a feeling that being a redemption ticket this isn't possible since redemption ticketing is structured quite differently to commercial. But had the agent converted you from EDI-LHR to EBB-KGX then you would have had your trip without paying anything extra and not got a refund on your redemption. So you're £42.50 up on this. The incentive on BA to have this arrangement is that if everyone is nimble enough then BA doesn't have to give compensation for the delay.

If the service was delayed you have to be incredibly careful / avoid cancelling tickets - you may deprive yourself of compensation and right to care. By all means reach out here if you are unsure of the rules. For a cancellation + refund you may still be entitled to compensation, but 22 June there really was bad weather on that route so I can't see that going anywhere. But you still need to be careful regarding Right to Care.