OP, was your luggage considered heavy? I recently started a trip that had me on AA then BA and the agent informed me that she couldn't add the priority tag on my bag because it was 51 lbs. on the return, after I delivered gifts accordingly and didn't acquire new item to pack, I received a priority tag by BA at check-in.
May it all just depends, as mentioned already, it's a class of service issue and the last carrier issue protocol. Since, my bag was heavy, it didn't matter if a priority tag was on it since it was going into the J bin out bound. But for the inbound, AA would like it tagged for priority delivery even though it's in the J bin already.