This is really annoying. Sometimes you have no choice but to book as two separate bookings. Nine of us going to Spain on miles with the first leg on Iberia and the second on Iberia Express. Everything worked except that for the last 2 people, the second leg (onward from Madrid) was not available as part of the main award ticket as it was for the other 7. The savings in the co-pay with the award ticket terminating at MAD almost equaled the cost of purchasing the second leg separately, so the cost wasn't an issue.
I spent a lot of time confirming that baggage would be checked through. Now I have to tell my son and his girlfriend that they (and only they!) have to go to baggage claim and then get back through and make sure the bags meet the requirements of the second carrier (which, because the Iberia Air flight was cancelled, has been changed to Air Nostrom). Alliance? PITA. I may restructure the whole trip and have us all drop the second leg.