Was it a connecting flight from HEL-LHR-KUL or was it just booked as one off sector.. cos if you just booked HEL-LHR without connecting onto KUL, MH will cancel the flight cos that's what codeshares are for.

You should have just booked on AY since its their metal in any case. That's the misunderstanding with a lot of codeshared flighhts especially on OW. People think that one may just book say AA codeshares within Asia on CX to get full miles in economy. But without a connecting flight across the transpacific, the booking will evetually cancel - if one can even book it in the first place.