You have asked for a segment that is simply not available. Try a broader or more specific search, in general use your imagination and try a different approach. Like CGN-LHR is a great starter as it is allowed yet has only three daily flights - doing CGN-FRA is not available and gets the same error-message you quoted.

In General: Try something that is served non-stop by an Oneworld-Airline for your first segment that has only limited flights, or use a One World airline on a trip that is not served by LAN. For example I just pulled up DUS-LHR-JFK rt on BA at 252€ a few seconds ago by just asking for a simple Dusseldorf - New York roundtrip as a two-segment Multi-City itinerary.

Main reason this is rather complicated is that LAN.com has some strange restriction on the first segment favouring OneWorld-airlines and only offering only segments that are served non-stop by at least one OneWorld carrier. On all OTHER segments however it just displays the first handful of options which come up first on Amadeus sorted by duration of the flight. This complicates things as on a simple FRA-JFK roundtrip where on the outbound you get an offer of AA and BA flights, on the return however (where the OneWorld first rule does not exists) LH, UA and SQ flights and no OneWorld flights at all...

Greetings - Dirk