Although I have not heard of that happening and would seriously doubt being refused if you could show documentation that your ticket is waiting on the other side of immigration, you could also re-do your reservation so that there are fewer than 16 segments (counting open jaws) so that the RTW could be issued as an e-ticket, paid for in advance (assuming you're able to arrange this with QF - it's not a problem with AA) - thus allowing you to show the actual e-ticket printout (with ticket no.) if asked. Later, you'd pay the re-issue fee to have the "missing" segments reinstated.