To answer a few of the Qs above, I recently flew MEL-SYD-DFW-ORD on QF+AA. Qantas reward ticket MEL-SYD-DFW, AA revenue fare on the domestic leg, booked directly with AA.
MEL domestic check-in (International flights counter) didn't want to do it. Well, they tried and couldn't find the connection (of course they wouldn't, as AA wasn't booked via QF). Had to ask for a supervisor, who still said no. Showed him the Qantas policy on the Qantas website, he had to call his own boss, who then okayed it, and they had to key in a 'manual' connection. Took about 45 minutes, mostly because of them not wanting to do it, and the supervisor seemed to have to put in some override code and comments to allow the computer to do it, but we got there in the end.
He explained that Qantas doesn't like doing it as it costs them more money but "we don't get any revenue" from the AA sector (which isn't entirely true, QFF gets some accrual revenue from the points, but yes, it's not a Qantas marketed fare). He also said that if the Qantas flight got in late and I misconnected, me being checked through meant that Qantas would be liable for a hotel in DFW and a new AA connecting flight.
Funnily enough, I had 2 checked bags. Both made it to DFW, but only one made it to ORD initially (both were tagged correctly). When that happens, AA lets you go shopping for whatever you need and claim every cent back. The fact that I was an international passenger and had come from Australia meant AA was (more easily) able to reimburse me via an Australian local bank transfer from their Sydney office (in AUD, based on my equivalent USD charges). Had I only been a 'US domestic' passenger to them, from the sounds of things, reimbursement would have been via a USD bank cheque ('check'), which would be hard or pricey to cash in Australia.
Having the bag tagged through also meant I could just drop it off and go straight through security and to the Flagship Lounge, rather than lining up to check-in again.
How great would it be though if Qantas allowed you to mix Qantas Points bookings to the US with revenue QF codeshare flights on AA for onward connections? I'd have gladly paid a little more than what it cost via AA to have everything on the one ticket and not to have to deal with the back and forward at the airport.