The actual wording of the rule to which you are referring is:
4(e) Only one intercontinental departure and one intercontinental arrival permitted in each continent except as follows:
1. Two permitted in North America when one is a transfer without stopover.
2. Two permitted in Asia when one is a transfer without stopover or on direct single plane service between the Southwest Pacific and Europe.
3. For travel to/from or via Ghana, Nigeria, Kenya and Uganda two permitted in Europe when one is a transfer without stopover between Ghana/Nigeria/Kenya/Uganda and another continent.
(my emphasis on the second exception)
From time to time the interpretation of this exception by airlines has flip-flopped between:
- Two permitted in Asia when one is
EITHER a transfer without stopover between the Southwest Pacific and any other continent
OR on direct single plane service between the Southwest Pacific and Europe
- Two permitted in Asia when one is
EITHER a transfer without stopover between the Southwest Pacific and Europe
OR on direct single plane service between the Southwest Pacific and Europe.
And for you, CX is taking the second interpretation
FWIW, I have recently ticketed an itinerary where the transfer without stopover is between Nth America and the Southwest Pacific (ticketed with AA)
Edited to add
I trust you can see that exception wording for Asia is significantly different to the wording for the Nth American exception, which you have made use of before
I agree, there is nothing in the rules regarding 'most direct route' - so whoever told you that is incorrect
Have you considered ticketing with AA? It codeshares on the ORD-HKG leg and will be happy to sell you the ticket if you take that 'over water segment' with AA
Have you tried using the on-line tool to ticket?