BA uses containerized luggage and a separate business/first class container. They also do not guarantee priority bag delivery for ANY frequent flyers, only J and F passengers. Because of this, the barcode matters much more than the tag -- BA should pick up on the fact that you are in F and load your bag into the correct container, time-permitting.
The airline for the last segment has control over bag delivery, and in this case apparently BA's computers did not instruct AA's computers to put a priority tag on your bag. I do think that the AA check-in agent could have been more accommodating and put an orange tag on your bag anyway, but it would not have mattered.