Well its been an eventful day but here is the update.

KLM was able to cancel and refund my flight through the call centre. The miles have already posted back, and the bag fees + the taxes will be 7-10 days. Before cancelling, I submitted a claim for EU261 compensation and the additional expense of the United flight. I'll settle for just the compensation if they don't allow the united flight. I also recorded the call in case I need evidence that the cancellation was because of their failure to reaccommodate me without a significant delay. Fingers crossed this will be enough but we'll see how it goes.

Judging by previous attempts to collect EU261 compensation it might take a while and involve a few steps but I'll be persistent