Ticketing offline to include multiple airlines is perfectly normal behaviour and in the old days of high street travel agents and pre-internet this was the complete norm, having multiple airlines on one or more tickets, all within one PNR. It's only when things like BA.com started to streamline options to just BA / BA + oneworld that this question would even arise. As it happens, if you look around BA.com you will see all sorts of oddities including trips to Bastia with Air Corsica.

Virgin travellers see more interesting trips, they will quite happily pitch up things like NCL-LHR on BA then LHR to LAS on VS.

Protection comes via the PNR, but note if you miss your flight, getting rebooked will be easy enough, but obviously you need to consider what Plan B looks like in terms of acceptability.