QF won't check through in such a case, unless one of the tickets is an award and the other a revenue ticket.
Oneworld used to require cross booking thru check between oneworld members, until it was changed a few years ago, reportedly at the "request" of BA. People had been booking cheap flights out of the UK to the mainland, then turning around and flying back through the UK on a cheaper ticket. eg LCY-AMS/AMS-LHR-LAX and expecting BA to check through and take larger risks with less payment.
Now the airlines are only required to check through on the same booking, though they may chose to do more and check across bookings if they chose. JL and CX will. I'm not sure if it has been confirmed if MH will.
Costs related to connections is also why some low cost carriers don't offer connections and require people to collect and recheck after each flight. Though I'm not sure how taking a bag from aircraft to baggage claim costs less then taking a bag from an aircraft to another aircraft.
I just flew LIS-LHR-DOH-PHL-ATL (BA-QR-QR-AA). BA checked me through all the way to ATL. If BA misplaced my bags at LHR, I wouldn't know it until I got to CBP in PHL, at which point I would have talked to QR about my missing bags. QR would then be paying to sort out BA's problem.
If that trip had PHL-ATL on a different booking and BA checked me through, AA would know I'm coming and I would just be able to drop bags on the transfer belt after customs rather then have to recheck with AA and new bag tags/boarding pass. Now, if QR was late causing me to miss my AA flight, QR would have to deal with it, even though BA checked me through. Where as, if they didn't check me through and QR was late, if it was a different ticket, it would be on me to deal with.