It's entirely up to the dealer whether they choose to refund your deposit or not. The good ones will, but the greedy ones will keep it and then mark your cancelled order up to sell to another willing buyer.
Certainly the body style will be different. Everything Lincoln has put out in the last 5 years has had unique body and interior styling, and I'm sure a Mach-E platform vehicle would be no different. The days of simply making a few cosmetic changes and branding it a Lincoln are well behind us.
Does anyone know which models get the black headliner? The configuration tool seems to show all cars with the grey headliner, and I'm not sure if the black headliner is something exclusive to Europe, First Edition, or just a prototype design not actually offered.
If you are looking at photos such as those in the following thread, you are probably mistaking the turn signal and wiper stalks for steering wheel controls.