Here's an update and unfortunately, I confirm that this crazy policy is in place also at CDG, so probably everywhere. I just tried to check a bag through on AF/PG through BKK on separate tickets (it was not possible for me to have everything on the same reservation) and AF refused to check the bag until final destination. The lady at check-in called her supervisor who confirmed the policy. Another agent said AF has no interline agreements with LCC. I replied that PG was not a LCC but a regular carrier, that AF code-shares on and is even doing the ground handling of AF in BKK (it's always annoying when you feel like you know more than the airline employee )
No way to negotiate. Now, my party and I will have to go through immigration twice in BKK just because of this crazy policy
Now I just hope that the AF flight will be on-time or...
As I said to the check-in agent and her supervisor, I did this countless times before without problems and I can understand policies and procedures can change but the minimum they could do is to make some "advertising" about it. So the pax is aware and plan accordingly.