What is extra confusing at DFW is that the signs in the baggage hall say "all bags must be claimed" - but this is not true for ITI bags. But how are you supposed to know about ITI? My bags have done the ITI connection without the special tags shown earlier in this thread (for HEL-LHR-DFW-MRY).
Explicitly asking in HEL for ITI tags (eg HEL-DFW-DEN) just gets blank stares, but as mentioned ITI is not valid for AY arrivals into DFW.