If you chose not to take your flight, whether you were going to misconnect, or not, it is still on your hands, for not taking the flight, and it showing you as a "no show". In this situation, if you are not going to take the flight, because you will misconnect, you should see an agent at the airport, and ask for a refund, if the ticket is refundable, or have them rebook you for a later date. If you just chose to leave the airport, and not take the flight, it will show you as a "no show" on the flight, cancelling your reservation, at which point, refunds, and rebookings are not allowed without penalty. I am not saying that you did left the airport, but that is the only reason I can think of, that would lead Delta to refuse a refund, or at least, rebooking you, in this situation.
****EDIT
After re-reading your complaint, it appears as though you did take the flight, but once at your connection point, asked for a refund. If you wanted a refund, you should have never taken the first leg of the flight, to the connection point. Once you have taken a leg of the flight, they will not honor a refund, hence the reason they say it was your fault for taking that flight. Once at the connection point, Delta's only obligation, now, was to rebook you on another connection for that day, or the next day. If it was the next day, since it was maintanance, they would be required to provide you with a hotel room, and meal vouchers, etc.
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