Thanks everybody again for your kind and honest suggestions!
I would like to point out that I am not bitter at all, just disappointed. Nonetheless, I feel ready to revise my application, improve my profile and make it more suitable for the role as soon as a new chance is available.
That said, I have actually felt, from the very beginning, extremely close to those that seem to me to be BA's values. On top of that, I am not desperately trying to be a pilot. I have a strong passion for flight but I am also 32, I have a job and, knowing myself and having a partner who works (and fights to survive) in Vueling, I am sure I would be very frustrated as a low-cost, low-salary, low-consideration pilot. I don't know if I made myself clear enough, it is just my point of view and my personal preference (and an answer to those who say that it is not a matter of being a pilot at all costs, I agree 100%). I would have really loved to be a BA pilot because it think they have that approach to aviation that only big prestigious companies still preserve. My mother worked as a flight attendant in Alitalia in the 70s and 80s, during the golden age of the airline, and at that time you could really and easily feel proud of your job, both in the cockpit and in the cabin. BA, as other major airlines, struggles to maintain this style and this concept and I appreciate that the utmost. It is an added value that attracted me to this programme, along with the more obvious motivations.
I suspect the sum of being 32, not being British and not having any previous flying experience definitely dug the grave of my application. And since on the former two I have no control (the first will actually go worse every year), maybe I should do my best to save some money and, at least, have a try at taking controls of a plane before re-applying.
Back to the nationality issue, I dare ask you a last question. I know it is a delicate matter and I would like not to be misunderstood. I am asking out of true interest and with good intention. How much do you think it hinders the application process the fact of not being British? Honestly I have seen nobody on this forum pass the first stage that was not from UK. Maybe I am simply wrong or it is due to pure statistics. However, let me make myself clear, even if it did exist a preference, I would totally agree with it. After all it is British Airways, I deem it reasonable and fair to give preference to those, other features being equal, who are English mother tongue and who are more integrated in British society. As a foreigner, I am curious to know your opinion about that.
Thank a lot and good luck to those that proved successful at this stage!