You could have avoided this by booking the CW fare online and then upgrading after.

As said above, the 'Book and upgrade' tool doesn't work well for multi-segment bookings since it will look to upgrade every segment, and so in your example it will create an underlying revenue fare that is economy CPH-LHR (to upgrade that with avios to business) and LHR-GIG in a CW fare (to upgrade that with avios to first), which will likely create full fare separate fares CPH-LHR and LHR-GIG. Whereas the functionality you really want is for just the longhaul to be upgraded, which is not how the booking engine works.