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Others with a better explanation will chime in but in the meantime I'll share what I know.
First, don't be concerned about making a mistake booking. If married segment logic is involved, you shouldn't be able to make the booking at all.
Here is a good thread on FlyerTalk. And here's an existing thread from AFF.
Married segments are a way that airlines manage inventory or seats between an origin and a destination.
The rule may apply to award tickets (most often) but also to revenue or paid tickets. I recently had an issue on a round the world fare where I wanted to fly from Maputo to Casablanca with a transit (less than 24 hour stop) in Doha. Qatar had availability in the fare class (or bucket) I needed from Maputo to Doha and from Doha to Casablanca but not when searching Maputo to Casablanca. As a result I was forced to include a stopover (at least 24 hours) in Doha, rather than travel straight through.
It is more of an issue with award flights, however, as generally speaking a transit at an intermediate point will not increase the overall number of frequent flyer points required for that journey whereas a stop will. Cathay is notorious for this. For example, you may want to fly from New York to Melbourne via Hong Kong. Searching for award availability New York to Melbourne and then a separate search for Hong Kong to Melbourne may show seats on each of the two separate flights. However, if you search New York to Melbourne, there may be no availability. This forces you to purchase two awards as you will be required to stop (again, rather than transit) in Hong Kong. Of course, that's more points and possibly more money.
To book BNE-HKG and then HKG-LHR without a stop and to avoid any potential married segment issues, you will need to mix the carriers. This means QF to HKG and then either CX or BA to LHR or CX to HKG and then BA to LHR. However, if CX is your preference all the way then certainly try that first. It's quite possible CX isn't applying married segment logic on the flights and date you chose (it is very fluid). If they do, then look for QF to HKG as the first flight or try routing through another Australian city first.
Finally, without going to too off-topic as there is a very lengthy and informative thread on the 280k award, you are limited to five stops with this product. Once you go over the flights are priced on a per segment basis which will likely be significantly higher.