Yes

How do you retrieve your luggage to recheck it if you don't go through immigration?

You don't retrieve, you give the id tags when you check in and ask them to load on the other flight. They do this all the time

Correct. That's just the way it worked for me yesterday. I flew CX from HKG to ICN, then ICN-ATL-AUS on DL. CX checked it through to AUS even though the DL flights were on another reservation. The excellent KL transfer desk agents who handled the DL flight noted the CX tag numbers and assured me they would get put on the flight. (Why can't US based agents be like that?)

I was meeting a family member in ICN and we flew back together from there. Interestingly, the luggage checked with CX came out very quickly in ATL, while luggage checked in ICN with DL "priority" tags still hadn't emerged in baggage claim 50 minutes after landing. (We had to head to the gate in ATL without the luggage in order to make the connection.)