By policy, the DL agent at MEM was correct., or at least not wrong. SK is not one of the exception carriers where DL policy specifically states they will through-check across separate tickets. The policy does not cover all SkyTeam carriers but rather JV and other close partners. As noted in this thread, plenty of people have had agents ignore the stated policy and still through-check to carriers other than the listed through-check carriers (including even non-SkyTeam/non-partner carriers) but it's always a YMMV situation.