This is pretty much what BA do (maybe others).

On a flight from XXX-LHR-MAN, I waited and waited, but my bag didn't appear. After 30 minutes or so, I went to the baggage desk and asked. They looked on a sheet, and told me my bag didn't make the connection

I always now go straight to the bag desk at MAN and ask. Save me hanging around for a bag that will never appear.