Two flights on same PNR - checked through luggage?

Hope someone may be able to help: In a couple of weeks we're flying from Copenhagen via Athens to Rhodes on paper tickets booked through Expedia. We're flying SAS from CPH-ATH and then Aegean from ATH-RHO. Both flights share the same shell PNR but on Expedia's confirmation they also quote SK's and A3's own references. I can also view the entire through trip using the shell PNR on http://www.checkmytrip.com.
I wanted to check that our luggage would be checked through (as this is what I have been led to believe reading other threads here on v-flyer) because both flights share the same PNR and indeed, although separate airlines, the tickets were issued by SAS. So I emailed Expedia using the on-line itinerary enquiry form and they have replied saying, no, you will need to re-check your luggage in ATH as you're on two separate airlines?
Any thoughts? No big deal if we do have to recheck bags but one of the reasons I booked the through ticket was because Expedia were offering up a through ticket!
Thanks
James
I wanted to check that our luggage would be checked through (as this is what I have been led to believe reading other threads here on v-flyer) because both flights share the same PNR and indeed, although separate airlines, the tickets were issued by SAS. So I emailed Expedia using the on-line itinerary enquiry form and they have replied saying, no, you will need to re-check your luggage in ATH as you're on two separate airlines?
Any thoughts? No big deal if we do have to recheck bags but one of the reasons I booked the through ticket was because Expedia were offering up a through ticket!
Thanks
James