Not interlining baggage because the flight does not leave until after midnight the next day seems like a rather silly policy, especially if the overall connection time is quite short. Given the timing of most international flights to/from India, this would probably make most interline I-I connections there quite useless.

And I am surprised they let you through immigration without at least a transit visa. In my experience, Immigration Bureau officers are quite strict in that regard, unless you are one of the few nationalities that does not require a visa or at least an ETA to enter India.