This happens to me a lot, sometimes because I generally build in a margin for late arriving first segment to make sure of the connection and sometimes because the first connection is illegal.

It's annoying to stand at the carousel for the 20 minutes (sometimes double that) it takes for your bag not to show up when they could quite easily have sent you a text or voicemail message saying it made the earlier (illegal) connection. Or even page you. I've been paged several times when my bag didn't make it at all. Why couldn't they do the same for "pre-arrived" baggage? (United, are you listening?)

I've learned to look in the baggage office first before heading for the carousel.