As you say they are talking about using two separate tickets to make your connection. For example Squeezy from the UK to AMS and then KL to out and beyond.
In this example you would only pay the UK APD for the Squeezy flight, but nothing beyond (as the NL no longer imposes a tax). However you risk misconnecting and losing your connecting flight (for which you might not be insured against)
However if you bought two tickets on one airline (for example KL to AMS connecting to KL) I suspect they would treat this as a through connection and if you misconnected they would treat you as is you had a through ticket.
Yes, you can save a bundle by connecting on separate tickets, but stay on-line.