Back when I was GO, and KA didn't fly to CNX, I was doing CNX-BKK (TG), connecting to BKK-HKG (CX), all in coach, on separate tickets.

The TG agent at CNX tagged my bags all the way to HKG. Being separate tickets, I had to clear immigration etc at BKK, and I did have to get my boarding pass from CX's counters @ BKK.
Maybe it was them, or someone sharp in their baggage ops, but the bags came out with the correct priority tags in HKG, and roughly in the order of priority.