In general, if your entire journey is issued in one ticket, your baggage will be tagged from your departure airport to your destination airport.
However, if your journey involves a domestic destination at the country of your destination, your baggage will be tagged to the first airport at your destination country.
Penang - Kuala Lumpur - Amsterdam - Manchester
Your baggage will be tagged from Penang to Manchester. You will clear immigration and customs in Manchester.
Penang - Kuala Lumpur - London - Manchester
Your baggage will be tagged from Penang to London. In London, you will need to clear immigration and customs before continuing your journey to Manchester.
London and Manchester are in the the United Kingdom (same country) and the first airport of entry into United Kingdom is London.
If your journey is issued into several tickets, the airline in general, will only check-in your baggage based on ticket issued.
Ticket 1 : Penang - Kuala Lumpur - London
Ticket 2 : London - New York - Chicago
Ticket 3 : Chicago - Las Vegas
Your baggage from Penang will be tagged to London based on ticket 1.
In London, you will need to clear immigration and customs and recheck-in your baggage for your journey on ticket 2. Your baggage will be tagged from London to New York as that is the first airport of entry into USA.
You will need to clear immigration and customs in New York before continuing your journey from New York to Chicago. In Chicago, you will need to re-check in your baggage from Chicago to Las Vegas and subject to USA domestic policy for paid check-in baggage.