I'm surprised that you are surprised! Most airlines function in exactly that way especially for long haul premium fares because they are the 'natural' choice of business travellers on O/D tickets. By contrast, for flights with a connection, they are struggling with far more 'logical' nonstop competitors. In other words, why on earth would you fly QR from ARN to DXB (pre-blockade) if they were the same price as EK? EK would be a far more logical/convenient/tempting choice, so to get some of that traffic, QR had to offer significantly more attractive fares in the exact same way EK had to offer much cheaper fares to DOH to encroach QR's market.

Of course, now things are worse precisely because the blocade means that QR gets less competition on Europe-DOH routes, but I fail to think of a single airline forum I am active on on FT which does not have various iterations of the question you ask ("why is it so much more expensive to fly A-B than A-B-C? Etc).