The furthest you can check your bags is DUB, though they may offer LHR (first visit). If your bags don't arrive in DUB, then yes, it's BA's problem to get it to you where ever you may be. If you left the airport before the bags got to the carousel, and BA thinks you just bunked off early (they'll have the data to prove this) then they can ask for you to return to DUB to collect the bags. But in genuine delayed baggage cases, it is the responsibility of the final airline to get it to the passenger.

I've heard from staff who handle this in T5 astonishing stories in this area. For example of how a delayed bag - a very small one - from EDI to LHR, on a £40 ticket, had to be shipped to Mount Pleasant and then off to the wilds of West Falklands, at great logistical effort and cost.