Did I get cheated out of a game?

if you have not redeem it, why mark it as received?

Well, contact the gifter and if he actually redeemed the game put a negative feedback then.

Because I got the Steam gift notification in my e-mail and considered it received.

Try checking if you can uncheck the gift received radio button.
Edit: I am able to, so do so.

It might just be buggy. I've had a number of gifts recently that have given me that error recently.

always activate the game before marking as received.

Try closing Steam and then restarting. I had a few glitches with the last few gifts I received also.

Weird... In the Gifts Won on your profiles, it doesn't show that you won it...