In Europe you should be able to check in at the transfer counter without exiting and going through customs & immigration formalities. Think of it as connecting to another country (even though it's the one you just arrived from). In fact the major European airports are set up to facilitate connections. Also going through immigration does not guarantee a stamp on your passport; I have been waved through at times without a stamp (especially in AMS). Your proof that you left your originating country is your ticket and boarding pass. And if they ask why you travelled what's wrong with just saying "mileage run"!