Recently, I tried MH -> CX KUL-BKK-HKG and CX -> AB HKG-DUS-HAV.
For MH -> CX, they do check thru my baggage and boarding pass as well. However, baggage was left behind in BKK due to MH late arrive (but I had 1.5 hours in transit.
For CX -> AB, I did contact Marco Polo club to add my "Info segment" into CX's PNR. Finally, check in staff check my baggage to HAV but no boarding pass.