Do you mean that BA wanted £3,000 to book LHR-BOM-AMD-BOM-AMD with the LHR-BOM-LHR sectors in WT+ and the BOM-AMD-BOM sectors in economy?

And that you got the same thing from Expedia for only £900?

If so, then it sounds a bit odd to me that there should be such a big price discrepancy. One possible explanation is point of sale differences, whereby BA was booking you in W class because T was sold out, but Expedia could see T class availability because it was looking in another country.

However, one other possible explanation is that despite you booking the whole trip at once with Expedia, you actually have a trip with two separate tickets because Expedia found that it could book it more cheaply that way than by booking one through ticket (which might have returned the same price as BA's). If that's what Expedia has done, then you don't have the misconnection protection in any event.

It's also unclear from your posts whether you have already booked the ticket through Expedia, or whether you're still looking at options. If it's the latter, you might do well to bottom out just what is going on to produce such a huge price difference. These are only two of many possible explanations.