I've never had any issues like that, even transiting through HK where ciggies are a big no-no.
Maybe it depends where you bought the duty free......from Heathrow the duty-free shop will package stuff up in special 'tamper-proof' plastic bags. All is then OK for any connecting flights.
If not in those special bags then whatever it is you may have issues.
Probably better to check before paying as some places change their regulations quite often.