Well, I just spoke with a Lufthansa phone agent, who told me that I'd have to pick up the bags in Athens. The lady sounded like she was American, though, so I don't know whether I can totally trust that she knows all the nuances of European airports. I could be wrong, but it seemed like she was under the impression that you have to get your bag at the port of entry in any European country. You've already said this is not true for all countries, so maybe she didn't know what she was talking about.
We're actually leaving for this trip today, so I'll just have to trust what I'm told at the airport!
Thanks again for the help.
Let us know how it turned out. Will be useful to know in future.
SmilingBoy.