Sounds like BS to me.
My understanding is even on separate tickets oneworld policy allows for interlining of baggage. The exception being for airports where local security or custom policy requires your bags to be collected and re-check i.e. USA or AU ports. Malaysia does not have such policies in place.
Note: There are no conditions attached to the phrase “…travelling on connecting oneworld flights” i.e. there is no requirement that the segments are on the same ticket.
So I gather that BA agent you spoke to was a) ignorant or b) trying to fob you off.