This is the answer I got from Changelly:
Actually, your account on Changelly doesn’t contain any important information, which can be stolen. We don’t store any information on your wallets or your funds, that might be used by any scammers. _
Moreover, we do not have any authority to remove or reverse any operation from the wallets, since we don’t have any credentials for it. Hence there is no way you can be robbed by means of your Changelly account._
In this case we do recommend you to contact the appropriate party again and provide them with all required information concerning this issue, so that they can assist you._
Hope for your understanding._
Regarding my Changelly account they probably are right: the selling of my XEM did not go via my account there, but from my wallet.
But what i understand from Mizunashi my XEMs were transfered to Changelly. Does did mean that they were sold via Changelly? Could it be someone in the organization of Changelly who does this??