That certainly should be possible, looks like you got a duff agent. In the days before avios, that certainly was the case that you couldn't mix zones, however since then the rules have changed.

BA now adopt the IATA rules where by as long as the "jaw" is smaller than the two segments, it's permissible.

So if you want to do LHR-DEN, JFK-LHR, that should be fine. Indeed I've personally done LHR-NRT, SFO-LHR as the distance between NRT and SFO is shorter than either of the other two segments (just).

Think this is a case of HUACA.