Had the same issue early last month. BUF-ATL-DFW, me a DM on one PNR because because work paid for my tix. My wife + 3 youngins on another PNR because they're ticketed in coach on award tix. My mom on another PNR sitting up front on an award ticket for FC.

Had to put all bags in my + mom's name as they would NOT merge the PNR's only "link" them, and linking them had nothing to do with dropping the bags fee.

YMMV but be prepared to pay the baggage fee if you have more than 3 bags between ya'll.