Yes and no. They bags will be checked all the way through because the flights are on the same reservation/ticket not because they are all on SkyTeam.
If I but a Delta ticket from ATL-CGD and then and AF ticket from CDG-ATH, under this policy, I will have to re-claim my luggage in CDG and then re-check it with AF; even though both are SkyTeam.
That's my understanding too.