I just had this for the first time last week. Flew BNE-SYD-HKG-LHR-OSL. The first three sectors were on one bag tag and OSL as final destination on a second. Both attached to the same handle, with one luggage receipt issued with both tag numbers shown.

On arriving at T5 I enquired in the CCR as to whether they could see that the bags had been loaded onto the final flight - and they had. When I retrieved my bag in OSL the second tag had been torn and was being held loosely to the handle only by means of the handle's own spring-loading.