I thought your bags cannot travel on a flight without you on it? If you’re not on the flight, the bags (supposedly) get taken off.
If you check a bag for a flight and don’t show up, yes, they should remove the bag.
If you check a bag, show up for the flight, make the connecting flight but your bags don’t make it due to the airline screwing up so they put the bags on a following flight, then they go ahead and do it.
I’ve had that happen two or three times lately. My flight into Atlanta is late so my three hour layover is cut to one hour, which is barely enough time to go from one side of that airport to the other jogging and no way enough time for a union employee to drive my bags from one plane to another.... So I arrive at my destination to find that my bags are four hours behind me on another plane.