Yes, that’s correct. You can’t do it directly on the ba.com website. However you can enter your CX FF number onto your ba booking on the finnair site.
You can then go back to the ba.com site and it will provide you the option to select your seats for free.
If your flights are booked by redemption, then you are not bothered that your ba number is not on the flight. If however you have paid for the flights, then you need to get your BA FF back onto the booking so as you can get your miles. You should be able to go back to the finnair site and reinsert your BA FF number.