That's not true, either by law or in practice, although (a) airlines love to blame the TSA for things and (b) it's entirely possible that some airline has this policy for certain classes of change.

For example, OP could purchase a refundable OGG-SFO ticket, check in for both UA flights, get UA to tag the bag all the way through to ORD, then no-show the flight at OGG and get a refund later. There's an excellent chance the bag would simply show up at ORD. And, if it didn't, OP could probably get UA to deliver it to them when it finally did arrive in ORD anyway; it would take some real detective work on the UA baggage agent's part to determine that they shouldn't.

Now, UA won't allow you to SDC to a flight that's departing within 1 hour if you've got checked bags, ostensibly so that they have time to move them (although I've done this and then they didn't move my bags anyway, so...) I think that's mostly to reduce their liability for paying to have bags delivered, though.