I have done that at least once with no consequences other than I had to go to the airport to pick up my bag at my final destination. I did it for the same reason you are considering it. I would have missed my flight if I had waited. I reported what happened when I arrived at my destination, the bag came later that day or the next day and I picked it up the next day. Separated luggage happens all the time, just not usually voluntarily.
Originally Posted by
GUWonder
However, DHS/CBP also knows that you had a checked bag on the flight arriving into MSP and may find it suspicious that you are trying to leave the customs hall without the bag you checked. If they discover that before you leave the baggage claim hall, it could well result in far more of a delay than just waiting for your bag yourself and re-checking it in for the next flight.
In all my international arrivals, I have never seen anyone at customs compare my belongings in my possession to any "list" they have of checked luggage. I hand my blue and white customs card to them, "Welcome back" and I leave. I am sure it is in their system to know, but in reality, I have never, ever seen them check your baggage against any list.