Originally Posted by
SK AAR
Secondly, at check-in at CPH the agent will most likely not be prepared to short-check you bag to MEX only (they will realise what you are trying to do!) and you bags will be tagged to CUN, i.e. you will face issues and questions when you try to retrieve the bags at MEX.
As MEX is your port of entry to Mexico (MCO-MEX) you will need to do the immigration formalities at MEX. For many countries that includes customs (baggage). Some countries (& Eu?) do customs at the destination. MEX-CUN is domestic Mexico flight.
Great Circle Mapper
But anyway agree with the others. Miss a flight and all subsequent flights will (probably) auto cancel. But check the "no show" clause in the tickets t&c's. Cheap tickets are restrictive. A full priced first/business class ticket may have allowances.
And make sure your travel insurance covers all risks