I think it's very poor that they didn't warn you properly about this potential outcome with only 2 follicles, not all follicles contain eggs so they could have foreseen this.
They may have been surprised by your response but if they were scanning you they should have known. Many clinics also do blood tests though mine did not.
Not all clinics are created equal and as you say I'd be questioning why they didn't give you the option of cancelling. It may be that your CCG funding rules are that once you've had your drugs that's your cycle 'used' but even if that is the case they should have spoken to you about it. And if that is not the case (you may have to dig to find out) then it does seem strange they proceeded to egg collection.
My first cycle was long protocol, I was 37 then with an AMH of 2. As I said there were only 3 follicles that weren't responding, ie weren't growing large enough so the cycle was cancelled. A few months later I had a short protocol cycle with 6 follicles and 4 eggs collected, 3 of those mature, 2 embryos, unfortunately no pregnancy.
I'd been having private scans some months after the first cycle to get an idea of antral follicle count (it was usually 6-10).
You may respond better to different drugs in a future cycle.
My first one was Buserelin and Gonal F, at maximum dose 450, second was Cetrotide and Gonal F initially 450 and reduced to 350.
Next cycle the plan is Menopur.
At your appointment let them speak first. Ask why they think the response was poor, what they would do differently in a future cycle. The first round is often seen as a learning opportunity. Even if you go to another clinic your notes from this round will give them some useful information.
I remember very well how I felt after my cancelled cycle, be kind to yourself.