Two weeks ago, I checked a suitcase through on Cityjet (i.e., Air France) from LCY to AMS, and then further from AMS with a Lufthansa flight. Flights were not on the same PNR and there were no problems whatsoever (in fact, I arrived only 40 minutes before departure due to a taxi delay, and was still able to arrange this, check my luggage and get to the airplane).