1) It's an gray area for IP -- it's not Sony's IP, so once it's all refunded, it's was likely the publishers decision. Sony probably could have said 'if you want us to do the refund, fine, but buyers should get to keep the game!'... but really, my guess is everyone just wanted the issue behind them and a straight refund was the easy answer.
2) Completely scrubbing it from their systems is likely far easier than creating a new 'state' in their accounting system for games that 'don't exist' but are 'owned'.
It's most likely #1. #2 already exists for delisted games.
Or #3, Sony doesn't want to host download traffic for a game they made no money on.
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