Something hasn't worked correctly for this to happen: what BA have done is paid the tiny amount of taxes and fees that are due on LUX - LHR. LUX being one of the cheapest airports in Europe, I reckon this would be £3.30. They more or less have to do this, since they don't have to pay the airport for non travelling passengers, so it's not an admission they've done anything wrong. In fact if you were having this conversation with the LUX agents at less than 44 minutes before departure then BA may have been generous to you, after then as a no-show you don't normally get anything.

If the travel agent did not ticket in time then it is their fault, and by buying a new ticket you thereby saved the TA the relevant effort (which takes about 5 to 10 minutes if the right person is doing it). If, on the other hand, the TA had ticketed by this stage, and the 125 number showed at the bottom of your App screen, then you can have another go with BA.