Last year I flew LAX-CUN-MID UA-to-VW (on a single ticket with no overnight, just a 2-hour connection) and the UA CSR in LAX naturally checked the bags through to MID. However, there is no bag drop facility in CUN after clearing CIQ, so I schlepped the bags to VW's terminal and the first thing they did was rip off the UA bag tags. There were some hushed conversations and consulting of manuals before they advised me that I could check the bags for free, leading me to believe it was not a "sure thing."