Why would any carrier want to make it easier for people to split their journey when there is less money in it for them? If you prefer Burger King hamburgers but McDonald's fries, the guy at the BK counter isn't going to run out and get you the fries you want, you have to make two trips and its not convenient so you usually just end up eating the whole meal at one or the other.
Same principle with airlines, Baggage agreements across airlinesand alliances are a ghost from pre-deregulation/consolidation when one carrier/alliance didn't serve nearly the number of destinations they do now.