I just got the info from ZRH staff that they're not labeling luggage on two tickets anymore. Apparently TK does not allow them according to their policy (Swissport handling). We'll fly with TK in two weeks to IST and have a connection with EY to AUH-PER. Layover in IST is 15 hours. The agent at ZRH said this is due to the risk of a delay of the first flight. If the luggage would miss its connection TK would be responsible. Even with a 15 hour layover they can't label it to its final destination (she even had to ask her supervisor). I am still not quite convinced that it's not possible but I think it's less likely that it will happen.