What would normally happen at such a station in extremis is that the station would be left open and the on call person would be sent to lock it up later after the end of service. Obviously some confusion occurred that led to the station being locked up early.
This is what I would expect happen too. I do still find it odd that Control would tell a station a last train was cancelled directly - it would normally be paged out and CIS screens would be updated accrodingly. Not to mention the train obviously wasn't cancelled (perhaps it was reinstated?). Without a look at Tyrell or the logs, it would be hard to know what had been amended (or not).
There's no major issues with service in the 2 hours beforehand at Blackburn (according to RTT), nor did the train lose any time on route (which might indicate an issue which may lead to a service alteration) and started its journey at 2236, so plenty of time to confirm a change. Even if trains are running late, staff would stay on and claim overtime accordingly (or the mentioned on-call manager) turns up. Or main entrances locked up and side entrances are kept open.
Hopefully the OP gets a good and thorough answer from Northern after their initial call. It's a strange situation; I've heard of delays of stations being opened in the past preventing people getting first trains, but not this reverse scenario. At least you had the guard with you - who was no doubt fairly peeved off themselves!