I've had a few tight connections (<40 mins) due to inbound delays on DL to AMS and then KL within Schengen, where I made my connection but my bag didn't. However, as long as I've had a reasonable connection time, I've never had an issue.

In the cases where the bag didn't make it, KL was fortunately pretty quick to notify me - I had an e-mail from KL as soon as I arrived at my final destination to notify me that it hadn't made it. Frustratingly, the bag didn't make it on the next flight to my destinations, either (in these cases, it was BLL and HAM), but rather a few flights later. In BLL, I was ready to pull my hair out - the KL bag line didn't have any information different from the KL website, and the BLL airport people, who were the only ones who seemed to know what was going on, only answered the phone for like two, 2-hour periods during the day.