It seems that all that was due to be done was done
If you were on a through booking to HEL, then the airline was responsible to book you to HEL
If separate tickets, then AA has a policy ( only listed on its site for agents ) to rebook even on separate tickets for travel between AA and another Oneworld carrier.
This was offered on the later flight of the day
This is where the airlines' responsibilities ended - that you chose to not fly to HEL was a valid choice to make, but has no impact on the HEL-ARN flights - since this is not AA-OneWorld , AA's policy would not apply here
There is no refund due ( other than taxes minus any "admin fee" ) for the HEL-ARN flight due
As mentioned above - EC261 is not applicable here
You could try contacting AA and see if it will do anything ; I suspect that it may well throw some miles at you for the delay - if lucky may be enough to book another intra EU flight in the future