My experience was from years ago so it's possible things have changed. Highly doubt a kiosk now would work. But this was a big problem at check-in for me, not the segments (though that was an issue too). But the double connection. I wasn't doing a MR, rather just changed my plans and it was cheaper to add on a fare to the reservation to my new destination. But nobody wanted to tag the double connection, and computer wouldn't allow it. Eventually they did write out a manual tag when it was getting close to missing my flight. I wouldn't necessarily expect the bag to arrive on your flight if your turn around point is at an outstation without many/any connections. Unless an employee happens to notice it quickly enough to get it back on the same flight.