There has been lots of debate on the timing of when damage is considered "dealt" and when that damage can be cancelled or redirected. Here's some info from Lukas at FFG that does a really great job of clarifying it all:
Whenever a card redirects damage, it redirects assigned damage and does so in between assigning damage and applying damage. The damage is never applied to the unit it is redirected from. So any card that says "redirect the next X damage dealt..." should really say "redirect the next X damage assigned..."
Whenever a card cancels damage, it does so during the same time frame as toughness and redirection. This damage is also not considered to be applied, and so any card that says "Cancel the next X damage dealt" should say "Cancel the next X damage that would be dealt."
So in conclusion "redirect the next X damage assigned" takes place at the same time as "cancel the next X damage that would be dealt." When redirecting or canceling damage, the damage is never actually dealt to the unit; the effects trigger right before the damage is applied.
As another note, if a unit has a "redirect the next X damage dealt" and a "cancel the next X damage dealt" effect, the active player chooses the order (using the rules on Simultaneous Effects)
I suspect we'll see some of this clarified in the next FAQ, but I wanted to pass this along since Lukas explained the timing so well.