Its easier if you are coming in to the US and you have to retrieve your luggage and recheck it anyway. Instead of rechecking it, just leave from there.

But, in Atlanta, luggage that is checked through arrives at one border control and people ending their trip in Atlanta end up retrieving their luggage at another terminal, so make sure you go to the right baggage area.

I have been able to have my luggage short checked a couple of times, but I don't think they do it much anymore.

I have had changes that required me to go to my final destination anyway. I was to fly HKG-LHR-CPH once and I was planning on skipping the last flight. Cathay had an issue and put me on HKG-HEL-CPH (on Finnair) instead so I ended up in my final destination anyway and just bought a one way to London from there.

Just be flexible, don't abuse it, and be prepared if something goes wrong.