I would like to know, what cost them more ?
A through check
HKT-HKG // HKG-MXP // MXP-DUS
or check in on 3 airports ( 3 times handling ...... )
As already said, it is often impossible to get award tix for the whole trip, so it is common, that people buy add ons by revenue tix. @ least them now should allow to book the revenue fare into the same PNR as the award tix.

without interlining I don't see anymore benefits to book "more expensive" fares ! Then I also can book point to point fares from LCC's
Changes to accepting customers with separate tickets
11 Jun, 2016
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From 01 June 2016, the oneworld policy on accepting customers travelling on separate tickets was changed. BA, along with our oneworld partners, has implemented this change in policy which is as follows:
Only those customers that have separate tickets issued in the same PNR/booking for flights operated by a oneworld partner, will be accepted for through check-in
Customers that have separate tickets issued in separate PNRs/bookings will not be accepted for through check-in, regardless of which carriers they are connecting on to, including BA or any oneworld partner.
These customers, and their baggage, will only be checked in to the destination showing in the system. No on carriage details are to be added into the check-in system at any stage.
Please note that where a customer has separate tickets, the Most Generous Allowance (MGA) rule for baggage does not apply and any excess baggage will apply as per the ticketed sector for that ticket.
Customers that do have a ticket that has all journeys listed (a 'through ticket'), will continue to receive the full benefits including through checked baggage, most generous baggage allowance and full assistance if their journey is disrupted.