Zabes64's case is interesting. As far as I can see, no compensation is due. Pax left EU on an EU carrier and landed on time in third country, end of story.

Pax then flew with a non-EU airline between two non-EU destinations and got delayed, and even if this third-country-flight is on the same ticket, there's no one to hold responsible. EC261 specifically mentions that metal matters, ie the flight number is irrelevant, and the actual flying carrier is responsible. So AY is definitely not liable here, and from AA's point of view, it's a domestic US flight where EC261 definitely does not apply.

If EC261 coverage is important, then one should fly HEL-FRA-IAD or similar, changing planes in the EU.

The case is very different from a more typical LHR-HEL-HKG case, where both flights as such are covered by EC261, and where the distance and delay are calculated solely between LHR and HKG.