I think it depends on the airport and the airline. And the knowledge of who is checking you in. In general f you are going through an airline's main hub, you can usually through check luggage.

On the other hand, a few months back I was connecting on Air China through Xian (only a focus city and not a hub) on one PNR and when checking in at PVG they said they do not offer luggage through check there yet. I had to claim and recheck my luggage. Though I got both boarding passes in PVG they reissued the connecting BP in Xian to make sure I could use the priority security lane. I think this also happened in Chongqing.