Once the flight was cancelled , did you cancel the ticket or just no show the next day?

AA is not responsible to transport the bags to you in this situation. You should have asked for the bags back once you cancelled the onward booking in Dallas
methinks that you were lucky that AA actually transport the bags to San Francisco - given that you were not on the flight, I would have thought that the bags would have stayed in Dallas and not loaded onto the flight to San Francisco

It is definitely nothing to do with South West