A BP, of course, is proof of nothing other than the fact that OP at some point was ticketed and held a reservation. One would have a BP even if one deliberately no showed. That is why the IRS stopped requiring US businesses to collect BP's over 20 years ago.

What most likely happened is that when OP boarded his KL flight, the BP did not scan nobody at KL went back and figured out who boarded and did not scan. Thus, DL is looking for a way to figure this out.

You could call back and hope that the agent did not note the PNR, or you could just wait until you fly the return (which also proves nothing more than that your ticket wasn't cancelled).