Originally Posted by
Globaliser
But at least you will be able to see immediately from your bag tag whether or not the agent has through-checked the bag. If they have, then you should be fine (although in your shoes I would still make sure to give the bag tag number to a gate agent at LHR to ensure that the bag gets loaded there). If they have not, then you are no worse off than if the agent had simply parroted the policy and refused to do anything for you.
An update on this: as expected, the BA staff at DEL parroted the policy and would check my bag only to LHR, not DFW. I actually ended up having to go through Customs and Immigration at LHR just so I could retrieve and re-check my bag. Fortunately I'd scheduled a very long layover and was able to use the Priority Immigration line. The separate PNR was also a source of anxiety on my way over; I figured that if I somehow missed my LHR-DEL (PNR #2 ) flight due to late arrival of my flight (PNR #1 ) from North America into LHR (unlikely since I'd booked an overnight at LHR but I'm really good at finding things to worry about), BA would probably take no responsibility for getting me to DEL on a later flight without charging a lot of money.
Lesson learned; I will never again book a trip on separate PNRs just because the Web site doesn't allow booking the trip all at once. I'll sit on Hold till I can talk to a human.