My recent experience on interline from CX to MH, overnight in Seoul.

Routing:
HKG-ICN(CX)
overnight in Seoul
ICN-KUL(MH)

I asked and confirmed with a check-in agent at CX counters HKIA a few days before my flight, whether it is possible to do such interline. The agent confirmed it is possible as MH and CX are interline partners, and as long as the connecting time is under 24hrs.

Fast forward to the day of my flight, the CX agent said it is not doable because it involves an overnight layover at the airport. I insisted and she asked her supervisor, the supervisor came and and asked if I am staying at the airport, and I said no, she then said becasue of security issues, the bag needs to be with the passenger. I then insisted saying another checkin agent has said it is possible as long as it is under 24 hours. She then double checked, and reluctantly said it is possible, but I shall bear the risk of the baggage getting lost or things getting stolen or something. The checkin took so long, at least 10 minutes. Next day at ICN at MH checkin desk, just showed the MH agent my baggage tags to confirm if the bags have been loaded to the flight, it was. Easy and simple.

Long story short, I think some agents are reluctant to interline/check through bag involving an overnight layover. For airports like HKG, SIN, ICN, I believe there is space to place overnight baggage, so I don't think there are any issues. Plus, many people connects through these hubs everyday anyway.