I recently upgraded to BF on a CO flight to CDG. When I called NW, they gave me the same story about needing to buy a ticket from CO, then call back to use my WP miles to upgrade. The CO agent I talked to told me that was wrong and that NW should have been able to do the ticket as well. I still don't know which is correct.

BTW, I ended up using CO OP miles (which I'd transferred in from my Amex card) to upgrade because they can't put you on a waitlist for BF if you're using WP miles, and they don't open seats for upgrading on a set schedule. The no waitlist bit seems a bit odd, but a CO agent told me that they didn't let WP miles users waitlist because NW won't waitlist OP miles users on their flights.