I've created, but never ticketed, itineraries on the CO site with more segs by declaring a single connecting city each way and choosing a double-connect for some of the segments.

I agree that it is difficult to do this online because they don't generate as many double-connects as are possible. They also don't display segments that they are not allowed to market independently - e.g. on CO, if you specify DTW-MSP-SEA, you will not get NW codeshares because CO is not allowed to market the codeshares into the MSP market - only to use them to connect to CO flights. However, if you specify DTW-SEA, it will generate NW codeshares connecting to/from CO operated flights.