Alan, I've been thinking more about this.
Did they give you any kind of refusal letter?
Did they mention that they will send you a refusal letter?
I would say continue the route you have planned and they have suggested.
But...... at the end of the day you should have a refusal letter. This letter will state the reason(s) for refusal, and would be the basis and key for next steps as it needs to be based on immigration rules.
Just suggesting 'straws' to grasp.