I've had CX check my bags for HKG-BKK-DOH-AMS-LHR and also on another occasion HKG-BKK-DOH-CDG-LHR with no problem. Flights were J class on 3 separate tickets: BA redemption HKG-BKK (CX operated), QR revenue ticket BKK-DOH-xxx, and then BA redemption (BA operated) xxx-LHR. Picked them up in London with no problems.

Predictably checking the bags for the return itineraries on BA from LHR was somehow 'impossible' according to BA agent... They could only be checked to BKK apparently so I got CX transfer desk at BKK airport to pull the bags and re-tag them, which they did without any problems.