MH did this for me before twice (bags checked through, BP's issued all the way), no issue - but on both occasions, not that it should likely make any difference, I was flying KUL - LHR with MH, and then separately connecting on with BA.

Looking at their website, it would suggest they'll still willingly do this - I can't post a URL as I haven't made 5 posts or more, but just Google "Malaysia Airlines Through check-in for guests holding separate tickets" and you should get to the right place!