Great, thank you for that.
I should clarify that I am doing LHR-ATL-MEX with the LHR-ATL portion on Virgin. They advised they do not issue international to international tags for luggage. Which would make sense with what you said about it being DL-DL only. So it looks like I'll have to pick them up as normal in ATL but at MEX I will enquire about the I-I tag and see if they put one on as it's DL-DL.