Is it worth worrying about?
They tell you at the check-in counter what you need to do.
Flying to USA you collect. Schengen it goes to final country. China it gets transferred to final, at least if flying then same airline.
Or else there’s google.
My WCMO was inspired by a post I saw on Facebook by someone who is trying to debate whether they book a short but manageable connection or a rather longer one, all hinging on whether bags will go through to final destination. They would have a single ticket, but the airlines involved are not the same one. (And this isn't Australia)
I thought about it and it's not unusual a question for anyone to have, greenhorn or seasoned traveller alike. Some of us don't worry as we have enough time and flexibility to roll with any punches. But why should it be so hard to find out the answer?
Check-in agents may know, or they may just make it up based on off hand info, or they ask a colleague who has about as much competence as they do. Contract agents, vs airline employees, likely don't have too much of a clue and aren't paid to answer such questions (viz. aren't trained for those kinds of questions). Asking the check-in agent is no help for one at the booking stage trying to make a decision.
If Google always gave the right source (even with its AI), we'd be golden. It doesn't always work; again, not so good for the greenhorns. Sure, we have forums like this - not everyone does, and why should we be the sole efficient (?) sources of such info? Makes an embarrassment of any other competent (incompetent?) corporation involved in such a process.
USA gets interesting - I definitely know that you pick up bags when transferring to domestic, just like in Australia. I don't know about bags on international transits via the USA - I know everyone must clear border controls in the USA, even if on international transit (e.g. SYD-DFW-MEX, or AKL-IAH-LHR). I had an international to international transit in IAD (YYZ-IAD-NRT) many years ago... it took 2 agents at least 15 minutes to confirm that my bags were transferred all the way through and I didn't have to collect them in IAD.
At least visa information you can punch it into Timatic and get answers. Same with MCTs into a GDS, or interlining possibilities. This question - nada official.