I flew CPT-xLHR-HEL last month using the AY code on the BA flight, had a boarding pass issued by BA at CPT with the BA flight no. on it but annotated "sold by Finnair" and got the full Plat bonus on the BA-operated flight.

I will say, however, that it took almost a month to post. I'd communicate again with AA and if need be fax them a copy of the ticket or PNR that showed the CX code on the flight. I assume is was part of a direct connection between HKG and CPT, and not after a stopover at JNB?