I don't know for certain, but it seems slightly less problematic to check bags at that point, rather than checking them trough two itineraries. (After all, you can have bags gate-checked at any point during an itinerary.)

I'm not sure if you'd need to worry about questions from the checkin agents though ("where did you pack your bag", "who packed your bag", "where has your bag been" while you were on the previous flights) - I wonder if anyone else has experience with this? I guess you could say your wife/husband/girlfriend/boyfriend/parents/etc brought you your belongings from home or something along those lines...