Just noticed part 2 of your question. Ive asked this before and have been told that everything has to be on the same ticket or you are on your own if you miss connections.
I must be missing something. If you miss your connection and have to collect your bags, I'm not sure how that's worse than not checking the bags through in the first place.
cingmot-- What happened to you doesn't sound right... I've done this multi-ticket thing before, and they used the weight restriction of whatever carrier I used at the first check-in. No penalty. Maybe I'm just lucky.