The powerpoint document
here (slides 22, 23, 28) does seem to imply that the baggage fee has to be the same on all segments of the journey, even on the return. There is no explicit exception for different classes of service. Whether this was intended or not, that's the guidance and definition of "itinerary" as stated in the actual rule. However, I don't know how much weight that document would hold or whether "itinerary" is defined elsewhere.
Here's the official rule from
http://www.law.cornell.edu/cfr/text/14/399.87
For passengers whose ultimate ticketed origin or destination is a U.S. point, U.S. and foreign carriers must apply the baggage allowances and fees that apply at the beginning of a passenger's itinerary throughout his or her entire itinerary. In the case of code-share flights that form part of an itinerary whose ultimate ticketed origin or destination is a U.S. point, U.S. and foreign carriers must apply the baggage allowances and fees of the marketing carrier throughout the itinerary to the extent that they differ from those of any operating carrier.
And yes, I suppose an airline could get around this by officially applying the lowest allowance to the entire ticket, it would just have to be explicit on the e-ticket receipt. Then I guess they could voluntarily waive any baggage fees for F segments.