Thanks all, that's pretty clear! Seems to me that all Europe-based OW airlines have stopped interlining baggage to other OW carriers on separate PNRs simply to make it more difficult for savvy travellers to take advantage of discounted fares available from other European cities. BA has taken this to the ludicrous level of not even interlining between 2 BA flights on separate PNRs. Sadly in my case - wanting to interline from a short regional flight to a long-haul flight - my complaining power is minimal.

My QR flight to Doha leaves Helsinki at 17:50. I'm inclined to think it would be too risky to book the Finnair A350 flight from London arriving into Helsinki at 15:15, so it looks like I'll be on the narrow body 07:30 flight from London. And I'll be at the back of the plane, as Finnair's Biz price to Helsinki at ~ £680, is only about £300 less than my flights HEL-DOH-BKK-DOH-HEL. Or do AY ever discount flights in Biz to Helsinki? My flights aren't until October next year, so I can wait for a sale, if there's likely to be one coming.