That's because not all islands have airports set up to handle customs for people originating from outside the EU. Within the EU there is no need for customs. Or perhaps not all islands are set up to do this for mixed flights. I wouldn't guess that to be the case for an onward flight to CAI though. However, through-checking bags on separate PNR's is never guaranteed so you always need to keep in mind that it may be denied.

I've had a rather nasty through-check experience some time ago flying KLM into MAD, and then Air Europa onwards to South America. KLM in AMS was willing to through-check the bag and my stub clearly had the final destination on there. However upon boarding in MAD I asked the purser about my luggage and he confirmed that it was in fact not loaded. Turns out that UX was not expecting luggage to be through checked and had offloaded it in MAD. Thankfully the purser was able to work with the ground crew and they managed to get my bag loaded onto the flight just in time. It helped that I boarded as one of the first, and was flying business. Otherwise I'd for sure had lost my bag in MAD.