Back in 2006-2007, I had to deal with this on weekly basis flying SAT-DFW-DCA. By the time DFW-DCA had opened up X inventory - typically at the last minute - the SAT-DFW upgrade (typically an easy upgrade route) was already gone. Discussed in this thread: Thru flight SAT-DFW-DCA with X on only 1 part?

Unless something has changed, it definitely requires some action on your behalf as segments aren't automatically split on these direct flights. Some EXP agents have no idea how to do this - so keep calling until you find someone who can.

Once interesting thing... sometimes I had to pay a little bit extra in taxes when I had the segments split. I could never figure out why I had to only pay it occassionally, especially since it was always the same route I was flying/splitting.

-FlyerBeek