I had a paid J open jaw through HKG to BKK with the BKK-HKG exit from Thailand on a separate ticket due to wanting a stopover in HKG and a $600 cost on a normal R/T. At check-in for the (first) flight to HKG they asked if I was leaving BKK in 30 days (visa waiver limit) and I told CX I had an open jaw one-way BKK-HKG.

She did not ask for proof but something (like the computer) told her to ask and even though all on CX she did not see that booking. I think on a refundable J ticket she did not feel it necessary to ask for proof which of course I had which differs from the OP.

I'd not risk starting a trip by being turned down on the first flight but that's me. Then you have the risk your first SE Asia arrival they ask the same thing.

This was in July of this year.