The down route station should be aware that passengers will be arriving without their bags, but depending on the flight time they might not have all the details of whose bags etc before the flight gets there.
Airlines of all stripes could save themselves a lot of trouble, and mollify a good proportion of their baggage-deprived customers, if they were more proactive in notifying passengers immediately on arrival (if not in flight) that their baggage is not on the plane. It is of course annoying to have your baggage fail to arrive, but it is much more annoying to endure the long, forlorn wait at the carousel, your spirits gradually sinking, until you eventually accept that your bag is not coming out. Then you have to stump off and find the appropriate handling agent's office, wait in line for several weeks, and then have the clerk press a couple of buttons and tell you cheerfully, "oh yes, your bags are still in Frankfurt".
Well, if the computer knew that all along, why didn't someone tell me earlier??? Why can't the handling agent intercept the baggage-less at the door of the aircraft, and hand them the paperwork already prepared, along with whatever vouchers or compensation might be applicable?