So in the interest of science........
I am on AM401 JFK-MEX-ACA. Checked a bag at the Aeromexico desk. They tagged it with a pink tag. I asked specifically if I needed to pick up and drop off, and they have said no, that my bag will travel through to the final destination. I asked a few time, mentioning that before I had to, blah blah blah. Agent was certain.
I will still go to the carousel, as I have plenty of time to kill between flights. And because I trust no-one now, lol.
I will post again when I am in the terminal.