I had a similar issue with my ex-DUB trip to HNL. Then I found I have 3 booking references, one for the outbound, one for HNL-JFK and one for JFK-LCY.
I think you should be fine, definitely don't panic.
Just check all your booking references for each airline, and make sure all the legs are there.
If you want further confirmation, you can always call BA.