I have a data point on this. Two years ago I flew PNH-KUL-DOH-PHL-MSP on three separate tickets and the check-in agent at PNH refused to check bags past PHL because only three flights can go on one tag. Personally, I think the second tag may have required more work and the PNH agent was just being lazy but I did not press him further since I had to pickup the bags and take them through customs in PHL anyway.