Quoting an old discussion here but since I remember that there was a discussion some months ago about checking bags in HEL for ”the last segment only” in itineraries like the above, just wanted to share my experience from today with an ex-WAW ticket:

No problem checking my bag at HEL before my morning tour in Europe. I just told the check in agent ”Going to Delhi, please” and no problems, nor any questions asked. However, because of the reports I read from here I didn’t want to end up having my bag become an issue and therefore didn’t book a same plane turnaround in WAW.