Greetings from the Diamond Lounge in Brussels airport ! Just to confirm that we were able to check-in our bag for free today. Used the SkyPriority lane in BRU, gave our passports to the agent. She spent a couple minutes looking a things on her computer and then added that we did not pay for any luggage to be carried. I replied that usually thanks to our status we can add a bag each for free on KLM flights and on the Atlantic airways segment, all passengers are eligible to one piece of 23 kg on hold. She replied "ah ok", then briefly checked something on her computer and printed the tag and handed us our boarding passes with all 3 segments on the same document.
I was ready to show here the Atlantic airways website on my phone and pull all the tricks mentioned on this thread, but there was simply no need !
Now with 45 minutes transfer in AMS (and 1hr 20 min in CPH), I am not so confident we will find our stuff on the belt in Vagar this afternoon, but at least there was no drama registering the luggage.
I have to say that the experience in BRU is so much much better than my two alternate airports of choice (AMS and DUS). It took in total barely 20 minutes to get from the airport door to the lounge, using the check-in and security fast-tracks. Given that we are on a saturday morning during a holiday week, I was getting prepared to live the same horror stories as in AMS a month ago where it took us more than 3 hours to put a bag in and clear security using all priority channels available.
Safe and happy travels to all, thanks for all your input !