etch5895, what you are describing is not how it should be, and I am talking both from personal experience and as someone who has previously worked for an airline (in an all-round customer service capacity which included dealing with delayed baggage)

My baggage has been delayed on many many occasions over the years, and not once was I made to return to the airport and pick it up and take it through customs myself.

When my baggage misconnects on the way home it is always delivered to my house which is 60 miles from the nearest airport. I've had baggage delivered to me over similar distances in Germany (and remember chatting to the driver on one such occasion, and being told that his next call was a further 100 km away from the airport). I've had baggage delivered from DTW to my friends' house in Ottawa, without anyone at DTW batting an eyelid when I asked for the baggage to be sent on to Canada.

If your bag misconnects it's the airline's responsibility to get it to you wherever you are at the time they find it, as long as it doesn't cost them more than 1000 Special Drawing Rights to get it to you. If you happen to be 500 miles from your original arrival airport, regardless of how you got there, your bag will have to travel those 500 miles at the expense of the airline that should have delivered it to you at your original arrival airport (i.e., AF in the OP's case - not DL. Baggage delivery is the responsibility of the last airline). If an airline tries to tell you differently they are just wrong, and you should stand your ground and remind them of their obligations under the Montreal Convention.