Hi – I used to use a travel agent in Munich where i bought DUS-LHR-BKK-LHR-DUS using BA/QF. I never had a problem of offloading my bag at Heathrow and would always use the 4th sector as the start of my following journey (i.e. LHR-BKK). The problems started when under pressure from BA, the travel agent in Munich refused to sell me any more tickets on the basis that I was not a German Resident. So much for free trade in Europe!
Accessing the German BA website to buy fares used not to work as it would recognise a UK address via the number of the credit card. However, now there is a workround which works and enables me to buy direct from the BA website.
I tend to use Dusseldorf for my ex-Europe flights on the basis that you can just walk up the jetty and turn straight back round rather than having to go for a mile long walk through the arrivals section and then turn round and be processed through the departure section. Naturally i only have hand bagage and manage to check my bag in for the longhaul BEFORE the shorthaul sector.
I believe in adhering to the fare rules, but i also beleive in free trade and feel it is very wrong for there to be such big discrepancies