Finnair’s ski-slope wedgy bed is no comparison to the fully flat Business Class seats on http://www.newclubworld.com
Although you do indeed earn BA Miles and TPs on Finnair, if you are a Silver or Gold card holder you do not get any tier bonus, and on such a lengthy journey, that’s a fair slew of miles on which you are missing out.
I am not sure how less expensive Finnair is (and if you are saving £500 plus it’s probably worth sticking with Finnair IMHO), but do be aware that in terms of hard product (seat), miles earned (if you have elite status) and the hassle of an additional shorthaul connection (especially annoying on the return leg) these products are not directly comparable.
From those i have spoken to, Finnair has a generally good reputation.
They did some very good ads recently, which I enjoyed.
Here is the BA exLondon low fare finder, but Club to Shanghai is coming out at £2700:
I can also see fares on BA in May ex Milan Linate LIN returning via LHR to AMS for £1715 in Club World; I think that would be the price for Finnair to beat.
Most of the Finnair exLHR fares seems to be fares seem to hover around the £2800 mark, so no less than BA exLON, and quite a bit more than BA exEUR.
Qatar Airways might be a good compromise; from London via Doha to PVG for around £1500 rtn.