Great, thanks everyone for your help!
Another situation (it was not on BA but on the sister airline "Vueling"): Flight from Spain to LHR with a flight connection in BCN. Flight to BCN delayed >3 hours, I was informed around 10 hours before departure. Asked the airline to rebook me so that I could take a train to BCN and fly directly from BCN on the same BCN-LHR flight.
I jumped on a train and got to BCN in time for my flight. Reached LHR on time.
Again I presume no compensation applies? The airline has already refunded me for the cost of the train ticket.