I have got the same experience before. When I checked in for HKG-YVR-YUL in HK at the CX counter, for some reason, they couldn't give me the CP BP for YVR-YUL. Moreover, something even worse was two weeks ago, when I flew YUL-YYZ-HKG on CP then on CX, though CP had put on their priority luggage handling tag for me and checked my luggage to HKG, CX ppl just ignored the priority tag and it turned out that my luggage was the last piece to come out. So my advice is, if possible, try to check in again when you need to change flights with different airlines. I think OW should pay more attention to this problem