We usually prefer to have our luggage not labelled with priority labels as it seems to be a challenge for some baggage handlers to have it appear last on the belt!
HKLADY is correct, it is a bit of a smoke screen and I’m like you HKLADY, I am always on edge until the last bag arrives! I don’t care so much coming home, and in fact it is quite usual for some of our luggage not to make it back with us connecting up here from LHR, even when flying First. And of course no-one ever tells you or pages you when they know full well your luggage is not on the aircraft, but rather let you stand and stand at the baggage carousel. And it’s a real nuisance when your driver is waiting and you then have to face the non-BA agents to try and get some sense of when your luggage is going to appear.
The DH mostly travels with hand luggage only, but a girl simply cannot do that! 😉