I don't know about changing the flight but I wouldn't see a problem short-checking the bag. I do xxx-ATH-xxx (domestic) quite regularly and the check-in agents often ask if I want to through-check the bag or just to Athens (I'd say about 50%/50%). I've noticed they do this more when there's a longer connection too. It's easy to imagine a scenario where somebody wants to leave luggage in Athens (with a family member at the airport or even deliver it somewhere) or just wants to be able to access their stuff.