Interestingly enough my wife traveled MEX-IAH-LHR with CO/BA in June and her baggage was labeled with a green "Transit" tag at Mexico and she didn't see it again until arrival at LHR. I can only guess this is a local arrangement between the TSA and Continental at Houston when transiting from Mexico only as I have never heard of it elsewhere in the States and when transiting IAH from the UK it is the same collect bags and re-check them procedure. She had done online check-in for both flights the previous day so had her onward boarding pass, maybe this made a difference.