I am the person mentioned in the OP. I wasn't going to bother replying here as I've gone through all of this so many times that I'm just sick of it but feel I should point a few things out.
1. I'm in the UK, my understanding is that the service in the US is generally much better.
2. I phoned and spoke to 4 or 5 different people, all but one were nice enough but all saif the same thing and that they couldn't do anything. The last one, when I asked where the money was now, after all they'd banned the offending console and revoked access to the game, reluctantly admitted Sony had it. When I asked why they couldn't give it back she explained it was my 'punishment' in case I had been trying to trick them.
3. Some people have had refunds from Sony for other things and I can only speak about my experience with this particular issue.
4. It's not that big of a deal, I get it. Normally I'd let shit like this go and put it down to bad luck but the attitude of Sony was so appalling it actually made me laugh. I genuinely couldn't believe some of the things they were saying and it was just amusing. Ultimately, it's £40 on a videogame that a 35 year old bloke lost, who cares? But this has happened to a lot of people, that money adds up. What if some kid gets a PSN card for his birthday and has that money taken?
5. This was pre-paid credit on my account, I had no debit cards or anything attached. As such, I couldn't do any chargebacks (which Sony ban you for) if I'd wanted to.
Finally, as an additional point, about two weeks after Watchdog started investigating, which involves their lawyers talking to Sony, I received my refund. It was £40, not the £39.99 so definitely not a coincidence. This is useless to me as I sold my PS4 back in January. This brings me onto the fact that, yes, I sold the machine, for various reasons, not just this. Watchdog wanted to film me playing a PS4 so brought one with them. I was uncomfortable about this but just don't care enough to argue at the end of the day.
You can look at this two ways, Sony are all fine because, hey, they did refund me in the end, or you can view it as pretty bad that it took 6 months, multiple calls and emails and a TV investigation before they cynically refunded me so they can say "the affected users have since been refunded, we regret . . ." on TV when they're asked about it.