Why doesn't that make sense? In FRA you have to go through passport control, in Warsaw there will be no regular passport control. The suitcases are checked through (if the airlines cooperate) and go through customs in Warsaw. In Europe it's (fortunately) not like in the US, where I have to recheck my luggage at the first airport.
By the way, Schengen only affects people checks, not goods. For example, Switzerland is part of the Schengen area, but not part of the customs union.