Technically, this isn't an "interline" bag issue because the flights are all on Delta. "Interlining" is a checked bag that goes from one airline to another.

I believe -- without being certain -- that this can be done by linking the two PNRs, which will take a phone call to Delta.

If the question is not definitively answered here, my recommendation in any event is to call Delta, particularly if you don't have enough time at MCI to claim your bag, recheck it and reclear security.