First of all, ask your dad for advice, if he's not too pissed off to give it. He may understand how to approach the older generation.
Next, go to the agency and see if it's even possible to get the deposit back. If the place is that great, it shouldn't be too much trouble. You can even pull the "my future father-in-law was confused" trick.
It may get you nowhere, but I think it would be a good thing to talk to her father about this. Make it a man thing. Tell him that you want to start out on the right foot with his daughter and be a good husband for her, and as such, you want to be consulted in all matters that concern your new life together.
Don't make it about your parents- her parents are probably competing with them for dominance. What they did sounds pretty underhanded and I'm pretty sure they won't be reasonable, but at least you'll have it out in the open for next time.
Most importantly, though, you have to get this straight with your fiancee. Her parents were put of line, but she was right there. Why didn't she do anything?