It is normal for bags not to be interlined across different tickets/PNRs to other carriers.

Airlines can interline in such cases if they chose to, but doing so brings extra risk to them in the case of irregular ops (such as a delay causing you to miss the next flight) that they aren't 'paid' for.

Through check across tickets was an unpublished benefit of oneworld for quite some time, until it was removed a few months ago, seemingly at the requirement of BA.

This removal of the oneworld policy returns the alliance to the industry standard and carriers are no longer required to connect you or your baggage to the next flight if they are on different tickets.

The carrier can check through to other tickets, if they chose to. for example, CX will check through to other CX/KA tickets, but not to other oneworld carriers. QF will check to itself and EK, and will only check to OW on different tickets if one is an award.
BA and QR wouldn't even check through to themselves.
JL and UL will still check through as per the old policy.

The other alliances, will also not officially check through across tickets. Though as with oneworlds current policy, the member airlines can choose to do so.