I had an issue with this last year when I had an overnight (but only ~9 hr) layover at JFK. There's a thread about it somewhere in this forum.

The issue is that they can't store the bags overnight at JFK. This was properly encoded in their system (so the agents could not check them through, despite trying) but not mentioned anywhere in the AS policy. The "connection" was actually AS-AS, too (though, the AS flight on the 2nd segment was ticketed by JL)

So, be careful with overnight layovers -- airport rules will trump AS' rules. i have no idea which (if any) other airports have this rule. It turns out that JFK has relatively cheap bag storage so this only cost me $10 and a little time.