Apparently this is the case in ATL, and some other large airports. You're supposed to hand your bags back over whether or not they're continuing on elsewhere; if not they simply get sent over to the baggage claim. I suppose one could hold on to some smaller checked items, but I don't think dragging a couple large suitcases + carryon items would be permitted. I have not actually experienced this myself having never flown into ATL from outside the US, but read of such in the DL forum.

Thanks for the info on the customs situation in DTW!