If you have a budget airline in your itinerary, you usually book it yourself as a separate e-ticket. My understanding is that when flights are ticketed separately, luggage isn't transferred and if your first flight is late and causes you to miss the second, you don't have the rights you do when connecting flights don't meet.
Has anybody ever had this happen to them? Some budget airlines don't consider flights as connecting even within their own schedule. In Thailand, I think 1-2-Go is the only one that has connections and will transfer luggage.