I'm curious about this too. It's a single ticket on main members of Skyteam so I would expect interlining by default, but I doubt BHX gets many bags in transit.
While airports like ZRH and MUC routinely transfer bags with as little 30 minutes between scheduled arrival and departure, I'm not sure how well BHX will cope. The baggage handlers might even just automatically dump all bags into arrivals.
SV253 JED-BHX is also frequently late, so there is a reasonable chance of having to take the next KL flight around 4 hours later. I hope this ticket was cheap as there must be better ways of getting from Saudi to NL...
It is an SK award ticket. CGK-JED-BHX-AMS-CPH-OSL. New personal record in terms of number of flights on the same bound