I have seen this "two tickets are much cheaper than one ticket" quite often for international itineraries. It is very common in fact.
I had a somewhat crazy situation a couple years ago where I was using miles or a SWU to upgrade MSP-CDG and CDG-MSP. The trip was a stopover in Paris on the way to a destination served by AF. To get business class on the AF flight DL told me that it would be several thousand dollars cheaper on a separate ticket for the AF flight in one direction. This was a case of a close SkyTeam and JV partner. My understanding of the situation was that to have the single AF flight included would change the ticket from an M class open jaw plus a business class segment on the separate ticket to doing everything in full Y. It seemed crazy, but several DL DM agents insisted that these were my choices for the trip.