I have checked in bags at T5 for LHR-ATL as part of an ex-EUR, BRU-LHR-ATL. I made no mention of the fact I was heading to (and then from) BRU, just dropped my bag and said I was going to ATL. No issues at all.

A colleague who had the same itinerary tried to do similar but stupidly told the check-in agent that he was going to BRU and then ATL. Check-in agent refused to check bags LHR-ATL or even LHR-BRU-LHR-ATL, and insisted his only option was either leave the bag in paid left luggage on Arrivals level (and then land himself at LHR instead of transit), or check bag to BRU, land himself and check in the bag as 'normal' for BRU-LHR-ATL. He did the latter eventually. I don't know whether this is policy, or if the check-in agent was just being difficult.

So in summary. Yes, it can be done. Yes, I've done it. Just walk up to the desk and tell the agent you're going to JFK/LAX/wherever.