When I have had this message I wasn't able to enter security until going to the visa check desk.
Once, I got this message when connecting from CX to BA (HKG-LHR-EU) and CX had even given me a boarding pass for the BA flight. The boarding pass wouldn't work at the entrance to security.
I think there are two different scenarios here. There's the regular long-haul document check where they issue you a boarding pass, but you cannot board without someone checking your documents first and there's when for some reason the system finds you so suspicious that they won't even give you a boarding pass without a document check.