Their policy does in fact cover items that have been checked in, however I suspect the problem is that they require you to report any problems with checked in baggage to the airline and obtain a report from them before you leave the baggage claim area.

I can't copy and paste it, but it's on page 6 of this link

http://www.ouldirect.com/pdfs/2/travelwording.pdf

Did you obtain the relevant report?

If you do succeed in claiming their excess is pretty high at £150 and is per person per section of cover so if two of you are claiming the excess is £300 so you may not get much if any back.

As Huckster has mentioned you could try the Ombudsman but this is a long process.