There are certain flights (think turboprop) where baggage space can be at a recurring premium. When I worked for UAX, we really had the wrong equipment for our IAD-JFK run. There were always too many bags for every flight, and therefore, we couldn't really roll them onto the proverbial next flight. We ran the CRJ to LGA (as opposed to the J41 to JFK) and the mainline LGA staffed used to get so pissed at us that they'd stop forwarding the bags we send there instead. It got so bad, we ended up putting all of the bags in a bunch of LD-3's (widebody cargo cans) and shipping them to LAX to get sent on another widebody to JFK.

FWIW, once a bag becomes separated from you, the "rush" sticker they put on there is a misnomer. It's the absolute last thing loaded onto the plane.