The problem when collecting your bags and rechecking them will be if they take an age to arrive on the belt. In that case you run the risk of never seeing them again if you head for your flight without claiming them.

At least if it gets lost when checked through it is 'in the system'.

My advice would be to carry-on essentials, have good delayed baggage insurance and don't worry. You could always check with your dispatcher on the EU flight to see if your bags made it - at least you will be informed when you arrive at the destination.