For some reason, I always thought they don't cover if it is lost on the leg back to your home airport. I could be wrong though.
I have not run into this yet either, but airlines would love everyone to think that. Here is article 19 of the montreal convention which applies to delayed baggage, which does not say anything about returning to your home airport. It is limited to 1000 SDR which is currently about 1400usd. You must provide receipts for this compensation, and has nothing to do . with airlines policies, its an international law (doesn't apply on domestic us flights).
"Article 19 — Delay The carrier is liable for damage occasioned by delay in the carriage by air of passengers, baggage or cargo. Nevertheless, the carrier shall not be liable for damage occasioned by delay if it proves that it and its servants and agents took all measures that could reasonably be required to avoid the damage or that it was impossible for it or them to take such measures."