If I get your idea correct, you travel in whY and you want to check in more than 20kg at LAX and get that tagged all the way to LED (AA LAX-JFK + AY JFK-HEL-LED)? If that's the case and you want to take benefit of your AA Gold luggage allowance with American, then by all means try to check in everything through to LED at LAX. Like I said above, there's no such thing as OW status based luggage allowance so if you claim you bag(s) at JFK/HEL you're forced to play with AY allowance (as GUWonder stated above), based purely on your class of travel and/or you Finnair Plus status. AA Gold will, in theory, do you no good after LAX.

I hope this clarifies your positition.