If there is an open jaw (arrival into CPH, departure from MMX) - extra flight coupon is required. The same is for co-terminals (arrival into LHR, departure from LHR).
Thanks for the explanation. Open jaw it is. Reviewed all my tickets for the last 18 months, nearly all of them are open jaw and all those have two consecutive ticket numbers. The 3 tickets that were not open jaw only had one ticket number in them.