Post-script...
4 segments + 3 PNRs was no problem at all, checking in at KL Sentral. Agent called over her colleague to help, but it was all done quickly and politely with two tags and all the requisite priority labelling, and she even issued boarding passes for connecting flights
Even better, my bag was first off at LHR, making it a record 20 mins from gate to tube, with a non-EEA/non-biometric passport at T5!