Star Alliance carriers seem to have a policy of allowing interlining checked bags across separate tickets when the separate ticket for onward transport of the bag/passenger is for a flight by a different Star Alliance partner airline than the airline checking in the bag on the first ticket.

But this kind of policy doesn't require a Star Alliance carrier to have a policy of allowing bags to be checked across separate tickets for their own airlines on their own ticket stock. In other words, if you have a UA ticket for DCA-ORD UA flight and a separate same-day UA ticket for ORD-LAS, UA at DCA can and most commonly will refuse to check in the bags across the seprate UA tickets for those UA flights. However if a given passenger has a DCA-ORD UA ticket and a separate SK ORD-CPH/ARN ticket for same-day travel, then UA at DCA is to check in the luggage for DCA-ORD-CPH/ARN upon being presented with the PNR and ticket info for both flights. In the latter case of UA+SK, UA will check the bags all the way through; but best practice is for the passenger to confirm the bag claim check tag info when being given it initially by UA and to also present the claim check to the onward carrier (i.e. SK in this case at ORD) and make sure it has the baggage tag info loaded into its system too.

This is an area where Star Alliance is much more customer-friendly on an alliance-level than Oneworld is.