the turnaround agent (often seen half way down the airbridge at LHR) would have been able to check your baggage tags to see if they had been transferred. AFAIK CC can't see if your baggage has made it or not. On a few occasions when I've been skeptical that my bag would make a connection, I've gone straight to baggage services on arrival who have been able to confirm that my bag didn't make my earlier connection. AFAIK BA haven't invested in the infrastructure to notify passengers that their bag hasn't made a connection, but to be honest there is really no point in doing so before arrival at the final destination. The best implementation I've seen for this recently was AF flying in to MRS. on the stairs going down to the baggage reclaim area there was a screen that told me (and several other pax) to go to baggage services.