FYI - You might have to point out to the gate agent that your connecting flight is in first, or I have had them try to charge for my bags. Apparently it doesn't show up well in their software if only the second leg is upgraded.

At least that is my experience where I get a comp upgrade on only my second leg. Once I point out that my upgrade has cleared I have never had a problem, but I have had them try to charge for my second bag.