Don't know about your legal rights, but I'd say the management was wrong not to refund your money. I have very rarely walked out on a performance, but when I did, I always got my money back immediately, no questions asked.

I once walked out on a folk concert when there was standing room only but I thought my ticket entitled me to a seat. I walked out on a movie once when the projector broke down and they were only able to get it started again after a 20-minute delay. That's all I can think of.