Happens when you are checking in for more than 3 segments. In most cases you will have to check in at the airport. Although on a trip earlier this year, I was able to check in even though 4 flights were eligible - it checked me in for the first 3 and gave me a connection information document (but no boarding pass) for the 4th.

One trick I learned if you're traveling on a quick turn or a MR... you can force the airport you'd like to check in from. So if you're going, say, RIC-DTW-LAX-ATL-RIC, out in the morning and back on the redeye, once you're checked in for RIC-DTW-LAX-ATL, you can go to Delta.com and click the Check In tab (don't click the button on your itinerary), enter your record locator, and ATL as the airport. Then it'll check you in for that 4th segment, assuming you're within 24 hours of departure.