So the tricky one below happened to me a couple of years ago, when I used to have the benefit of staff travel as a BA employee.
I was travelling MCO-JFK on AA, connecting to LHR on BA. I was using the staff travel so we are talking about standby tickets here.
After boarding on my AA flight to JFK, having checked bags, we are told by the captain that "there is a hole in the cockpit window" and therefore we cannot take-off until an engineer comes to fix it, so we are de-boarded.
After 5h of waiting in the terminal, we are told that the other AA flight to JFK of the day is also having technical issues, so even if our flight finally departs, we won't be able to board again as they will give our seats to other fully paid passengers.
We then decided to cancel the JFK-LHR segment and buy a standby ticket MCO-LGW with Virgin Atlantic, as the flight was showing some space. AA would not, by any means, return our bags that still on the flight we previously boarded, even if we don't have allocated seats anymore. Our bags will definetely fly to JFK but get the promise from AA that they would "add a note in the system" so our bags will "100%" be sent to London after arriving in JFK. Of course I didn'tīt believe a word but there was no other choice as at this time was imposible for us to get to JFK that day or the day after.
When we arrived to LGW, we were advised that the baggage claim should be raised with Virgin, even if they were never supposed to touch our bags. I found this incredibly shocking, but was promised this was the right way to do it.
Surprisingly, after a week or so, Virgin found our bags and sent them to our address in London. So the responsibility for looking and retrieving the bags is definitely with the last carrier involved, even if by no means they are responsible for the loss.