If it's a T5-T5 connection and it's less than 24 hours, then the bags can be through-checked. I'm pretty confident that I've seen reports here of people whose bags have been through-checked on an overnight T5-T5 connection even though that's not what they wanted, and something has had to be done to sort that out.

What I don't know are: (a) whether the time limit is the same for a T5-T3 connection; and (b) whether the check-in system will default to a through-check if possible. But there must be a possibility that both could conspire to catch out the unwary doing what the OP is doing - hence the suggestion to tell the check-in agent proactively to make sure that the bag is tagged how the OP wants it to be tagged.