Heathrow is notorious. It used to be almost as bad when not interlining, but BA really seem to have got their act together starting about 18 months ago, and haven't failed me once since. Before that bags on my BA/CP flights from Canada connecting to European flights always, and I mean always, missed, regardless of connection time. It got so that I didn't bother waiting at the carousel in Vienna, and it was quite convenient to know I'd get my bags delivered to my hotel when the flight after mine arrived

Strangely, they never missed a European to transatlantic connection.

If you have time on your connection when interlining, and no visa problems going landside, I always recommend picking up your bags and rechecking them if you absolutely can't do without them for a day or two.