QF would be more likely to send to BKK (as the onward flight is with QF etc), also when in MEL you can ask QF to combine the bookings which they seem to able to do very easily at the service desk/peopled checkin . QF would have the processes in place to cope with an international misconnect.

My feeling with JQ is that they will conveniently pull the we are a separate airline to QF, it would be hard work for them, and just shrug and correctly state that the contract only included MEL/SYD and they will happily either hold the bags at SYD or return to your home in MEL. Perhaps even if they said they would transfer someone else may just see your AU home address and work out that it is just easier to send there.

(Some experiences may differ with the above, however, we are all pretty aligned on saying that it is a sig. risk)

Feel free to come back and let us know how it goes.

KF