Same issue within Europe in May this year. Heathrow to Kirkenes via Stavanger and Oslo with SAS. I was assured that my bag was checked through, but on arrival at Kirkenes found my bag was still in Oslo, as I had been expected to pick it up and go back through security there as Kirkenes is not a customs clearance airport for Norway. No mention at LHR or on either of the first two legs on board. The help desk at Kirkenes were expecting me on arrival - turns out that this catches out quite a few people.
Respect, though, to the SAS duty manager at Kirkenes who managed to route the bag on to Kirkenes very late that evening via another intermediate airport where it arrived at 1am and then personally drove it to my hotel after his shift finished as I was on a ferry the next morning. A top man !