The person who sells you your ticket can't be expected to know your travel plans. If you asked for a Saver ticket, this is valid for return any time with a month, so the sales assistant wouldn't know that you were planning to return the same day. Even if you asked for a 'Day Return' (which doesn't actually exist - you'd have been sold a Saver ticket anyway), the assistant would have had no idea what time you were expecting to travel back. It's not his job to check
your travel plans. It's yours. (Of course, if you'd have asked the ticket assistant to give you the return times he would have been obliged to give you the information).
I'm also confused as to why you travelled to Banbury. If you were at Marylebone at 2330, all you had to do was to take the Tube to Farringdon (changing at Baker Street) and you'd have had plenty of time to catch the train from there to Bedford at 0034. (Alternatively, if you only found out about this train when you got to Kings Cross you could just have walked down the road to Kings Cross Thameslink station and caught it at 0038). The First Capital Connect list of engineering works for this bank holiday weekend indicates that this train should have run normally.
I don't think that you've got any valid claim against Central Trains for the absence of a train to Leicester (although I'm surprised that there wasn't a bus replacement service still left at 2000). However, if whoever told you about trains from London (whether at Birmingham, Marylebone or Kings Cross) failed to tell you about the service from Farringdon, you might have some sort of a claim against the company which employs him.
Chris