As far as I am aware this is the correct procedure. You booked your ticket through an agent, so you need to go through Expedia regarding any changes. BA won't have control of your ticket until around 24 hours before your first flight.
But why can other airlines (like Air France) do just that? I had that a couple of weeks ago with a ticket booked through the same travel agent. Air France didn't seem to have a problem with rebooking two of my flights after one flight had been cancelled.
Edit: Ah, on that Air France ticket I had had another flight about four months earlier, so technically it wasn't the first flight on the ticket. It was just the first flight in the year. :-)