It sounds like this situation needs to be dealt with by AA and not BA (or Menzies at ARN for that matter - it really has nothing to do with them), since it was at LAX (after the last flight at that point being AA) that the damage to your original bag first became apparent.

Beyond that, it's the matter for the travel insurance by the sound of it and really not something that BA will sort out. If anyone is to sort this out it would be AA.

I am not surprised that ARN agents did not want to know because the damage was not even discovered at ARN but at LAX, and neither did BA issue the replacement bag, although it does not sound like it was handled very kindly from your point of view.

However, I cannot really see any evidence of their being rude as such - it is not rude to refuse to deal with something that has nothing to do with them just because the passenger wanted it to be dealt with. Your BA boarding pass to ARN had absolutely nothing to do with the damage to your original bag or the poor quality replacement bag provided by AA (damage did not happen on your way back for a start), and I am frankly surprised that they even completed a form as it really had nothing to do with them whatsoever. They probably felt so pressured by you that they felt they had to do it to get you on your way - it really had nothing to do with Menzies at ARN.

It also sounds like the it involved incorrect advice by AA at LAX.

Either way, your best course of action is to address the issue with AA and your travel insurance provider (as recommended by golfmad). I strongly doubt holding anything against Menzies or BA would help you.