I think long-term, the answer is to give the customer a choice about which ticket eactly they want for each leg after their journey after split options have been generated.
This would give the customer more options and informed choice, solving the problem we see here, but there are may reasons why this might be desirable apart from this situation. For example, it might be the case that one of the tickets is a Standard Advance, and a First Advance is avilable at £5 more. Another Standard Advance in the same journey might only have the upgrade to First option of the First Anytime Single, which could easily be a £200 differnece. For this reason the customer might want to upgrade to first but only for part of their journey. In addition it might be that the customer has utility in off peak tickets for part of their journey only, either at the end or the beginning, as this will allow them to wait for their Advance booked service or spend one of their connections at a more personally desirable location, for just a small premium price over a long chain of Advances. A good example of this is I once booked two Advances Bristol Parkway to Cheltenham Spa (and return) which came to ~20p less than the CDR fare which would have been valid, as part of a longer journey to Birmingham, through Trainsplit. If the option had existed to swap the two Advances for the CDR at a marginal cost of ~20p, I would have taken it to provide extra flexibility in the event of either disruption or a change of plans.
This is more likely to be an 'expert feature' though and I think the typical customer will want to be able to just select 'reccomended tickets' and have done with it, rather than being asked about each leg if they're interested in a £10 upgrade to First Class for 45 minutes of their journey only, or if they want to swap two Advances for a flexible return for 40p.
It is close to impossible to get value for money out of an Advance ticket in each direction from a same-day return journey after 0829 between Bristol Parkway and Cheltenham Spa. It is very unlikely you will be able to beat the £10 CDR by more than a few pence, which makes in unworthwhile. A similar situation exists on both EMT and Northern between Nottingham and Sheffield, where if you compare respective Advance and CDR prices, even with two of the cheapest Advances you are only just beating the CDR price.
I would personally expect a ticket office to advise me if I were about to buy two Advance tickets that only saved a tiny proportion of the fare over a more flexible return, just as I would expect to be advised if I were about to buy a single where I could come back at just a few pence more - or in the case raised by the OP for exactly the same price. Whether the majority of retail staff would actually do this though is a seperate question!