Thought I'd throw my personal experience out there. I flew UA from DAY-ORD-IAH and SQ from IAH-DME-SIN-BKK. The UA agent in Dayton tried to print out a luggage label all the way to BKK. I forget what the exact reasoning was, but she said something along the lines of the system wouldn't let her; possibly because there were too many stops (that last part is just a guess on my part).

In KTM, TG was able to check my luggage all the way through on the TG sector from KTM-BKK and the SQ sector from BKK-SIN-NRT-LAX. On the outbound I had 4 stopovers before my final destination while on the way back I had 3 stopovers. Again, this is speculation on my part, but perhaps 3 stopovers is the limit for the Star Alliance systems to process?