You get the F baggage allowance all the way through, even when doing a buy-up to first (not a comp upgrade). I used to do this as a non-status flyer when going PSC-SEA-BOS. Usually the FCM offer on PSC-SEA was super cheap, like $20-$30 and SEA-BOS would be expensive, like $200-$300. I would pay to upgrade on PSC-SEA and get the free checked bags, plus even sky priority perks the whole way through.