I do that flight (albeit from US) arriving LHR at around 6 am and leaving for HEL at 10. In the few occasions that my checked bag did not make it, it usually involves more than one carrier (AA>AY or BA>AY) and both point the finger to the other. If I was you, I'd check my bag to LHR, pick it up when you arrive and recheck it with AY. Of course, this will shorten your time spent at CX lounge.