OK, so what you need to do is to go onto Finnair live chat, give them the AA record locator and explain you need to select seats on the Finnair flights. They'll give you another PNR you can use to select seats on Finnair, that will also allow you to see the whole itinerary on BA.COM if you want to. I had to reenter my personal details onto the Finnair PNR including BAEC number. Curiously it allowed me to select a seat on the BA HEL->LHR leg which I couldn't on the Qantas PNR (but I could select the babybus and 747 seats).