Royal Brunei is not responsible for consequential losses.

That you had purchased a separate unrelated flight from LHR-GLA is not its problem, nor is it BA's problem that you missed the flight

Royal Brunei fulfilled its obligation when it got you to London
As far as BA is concerned, you were simply a no-show

This is a risk that is associated with making separate bookings; if the domestic UK flight was changeable, then you could have made changes to it whilst delayed in Dubai

If your insurance will not cover you for missing check in for the BA flight , then the cost of this is something which you will need to bear. I would suggest reading the insurance policy documents carefully to determine whether this is a situation which is covered by the insurance and , if so, go back to the insurer and justify why it is covered

You can claim back the taxes , however the BA administration fee for processing the refund will likely be as much as ( or very close to ) the taxes due

If you want protection for missed connections, then book it as a single ticketed itinerary. The travel agent may have been able to create an itinerary containing the domestic flight as long as the fares in question allowed end-on-end ticketing. In this instance , Royal Brunei would have been responsible for rebooking you through to Glasgow