I had a more complex routing CX KUL-HKG-RUH via AUH then turn around on QR RUH-DOH-AUH.

CX counter said they can check right thru. As it turned out, my baggage did not reach RUH for QR to pick up and loaded it onto my connecting flight.

They were off-loaded at AUH and when I reached AUH, the baggage was stored at the Lost & Found for me to pick it up.