As for legal rights, you simply have no recourse with a US school. You are on a visa which they can cancel at any time. If you think you have been unfairly, tough sh*t. You at least have the option of legal action here in the UK.
You have as much legal rights in the UK as in the US. The only problem is that it is a little harder to exercise them since you don't have time for a lawsuit.
I paid by credit card, assuming that in case of problems I would be able to get support from the credit card company and/or my money partially back. I've had no problems at OFT so I can't testify as to whether this assumption was true or not.
As for "cancelling your visa", that's total bull. The visa is issued by the INS (part of the State Department) on your request and cannot be cancelled by the flight school. It can only be cancelled by the INS itself and you have to get yourself into some serious trouble before that happens. Before issuing the M-1 (temporary student) visa, the INS will check whether you are *really* coming to the US for (flight) training, so they need a piece of paper from a (flight) school saying that you indeed enrolled with them. But if you fall out with that school, it *is* possible to have your visa transferred to another school, although it probably requires a visit to the INS, some paperwork and some admin fees. The same goes for TSA clearance.
I did a big write-up of everything related to getting a JAA PPL in the US here:
http://www.pprune.org/forums/showthread.php?t=278995