Checking baggage through when connecting to separately ticketed flight

I sometimes fly United and connect to another airline on two separately ticketed bookings. I've never had a problem doing this until Sunday, when the United agent complained strenuously about checking my suitcase through to my final destination b'c all flight segments were not booked together (like through Orbitz, I guess). He said that United might stop doing so b'c it was so inconvenient; indeed, it took him a good 20 minutes to do it with the computer and two phone calls.

Anyone have some insights here? I'm Delta plat and Delta pulled out of my city, hence the need to fly another carrier to get to Delta. May be status matching and switching airlines next year.