Simple. You need access to your bag at the connection point. They get this request a lot, usually because people need access to bags at connection points. It doesn't matter why - it's not their business, and they don't care. They may want to make sure you understand you'll have to go through immigration to get your bags, then through customs, check them again and back through security for your next leg, but you won't have any problem. Checking bags to an intermediate destination is standard procedure.