Airlines don’t like it when you check a bag to a connecting city rather than to your final destination. It turns out though that you can short check bags, it’s just tough. Generally speaking airlines will let you do it on connections of 6-12 hours, and will require you to do it on 12+ hour connections (they don’t want to hold the bag that long).
I was interested to learn the official American Airlines policy for short-checking bags, and unsurprisingly it’s very much linked to hidden city ticketing. The policy was just updated last month,