Actually, I think this is a pretty good warning to make, and I don't think is specifically limited to Air China. Most travelers inside China fly point-to-point and only a minority need connecting flights. So nearly everybody takes it for granted they will pick up luggage after each flight. If you need to fly two domestic segments with a connection point and know this upfront, definitely get it all on one ticket if you don't want to deal with luggage at the intermediate point, and preferably on one airline.

From any Chinese airline's perspective, they don't want any responsibility added to what is on the ticket you purchased. If you purchased two separate tickets to form a sequence, then it's two separate contracts. the airline wants to deliver you and luggage from point A to point B then essentially close out that first ticket contract, and not complicate things by trying to link tickets (and by extension, luggage transfers from point B to point C).

That puts more responsibility on the passenger but given the characteristics of the domestic market in China, it's probably better to keep it this way for now. Also, most Chinese passengers would rather ensure (via bag pickup) that their luggage made it as far as they did...and they are used to doing more manually. The extra convenience of being able to link separate tickets and check bags through is overshadowed by the lack of trust between airlines and passengers.