I'd say it's impossible to say what you're entitled to without knowing what was originally said, when you ordered.
If it said "includes signed copy", then I'd say they are in breach of contract, because that isn't what they supplied.
If, however, they said, as it does now, "first 500 includes signed copy" then I'd say that placing an order might secure a signed copy, but as they have no way of knowing, in advance, if yours would be one of the first 500, there is no guarantee of a signed copy. In that case, they have (presumably) honoured their obligation and shipped the first 500 with a signed copy. You just weren't one of the 500.
You do also have rights under the Distance Selling Regulations to cancel most types of order made remotely (i.e. by phone, mail-order catalogue, web, etc), but audio and video recordings have an important exemption .... if they are shipped sealed, they must be returned sealed. If you break the seals, you lose your DSR rights to return. So, were the recordings in sealed packaging, and if so, have you removed it?
Your main (non-DSR) consumer rights don't give you the ability to return something just because you don't like it, or because you changed your mind. Your rights to reject the goods are primarily limited to them being faulty, or not suitable for the purpose, or misdescribed.
If these recordings actually work (i.e. play), the first two options aren't available. Whether they were misdescribed or not will entirely depend on what the original web description said, along the lines that I mentioned at the start of this post.
But this "first xx items include ...." is fairly common practice, and I'd say that the company aren't liable for you misinterpreting what they said, IF what they said was accurate, and they kept to it. If, theoretically, your order was one of the first 500, then you've been diddled. But quite how you'd go about proving you were among the first 500 without access to their shipping records is beyond me.
One more point. Bear in mind that there is an important difference between what the law says your rights are, and what you may actually be able to get without going to court. If you think you've been done, put your points to the company. They MAY refund you, even though they don't have to. But, if they stick to their position, then even if that infringes your rights, the only way to enforce them is to go to court. So your "rights" are useless unless you're prepared for the hassle and aggravation of a court battle, bearing in mind that while courts tend to lean towards the side of the individual against a company, it is NOT carte blanche. They will look at the overall situation, including the reasonableness of your claim and expectations. The balance might be tipped slightly in your favour, but it is still a balance. Are you prepared to take it to court? If not, what your legal entitlement is or is not may well be entirely academic, because rights aren’t a magic wand to force a company to do what you want, even if you’re entitled to it.
Are you entitled to a signed copy or a refund? I rather doubt it, but it's impossible to say with any certainty without being absolutely sure what the website said before it was updated.