Happy to report the interlining went OK. Check in staff at HKG tagged the bag to AUH which prompted a CX handling agent at DEL to meet me at the gate. Not sure this was because I arrived in J and connected to F. Escorted me to the transfer counter where unfortunately I had to wait for an hour for the EY agent to decide it was time to work a little. Pack enough time if you do this.
Took my passport and baggage tag, disappeared in the depth of the terminal somewhere and returned with my boarding pass and a smile after about 20 minutes, my bag was now being checked through to DUS via AUH and LHR. Told her I'd like to get my bag in AUH as I'd be spending the day in the city in transit. She brought me to the lounge and had me called to the reception about half an hour later to inform me I could now get my bag in AUH. Overall, rather pleasant experience except for the hour wait.