I found myself in an interesting puzzle. Here is the simplified version:
I have a flight from A to C, connecting through B. I decide that from B I actually want to go to D, so I buy a separate ticket for that journey*. The B-C and B-D flights are around the same time and with the same airline**. Will there be a problem with checking in to B-D, given that at that point I will already be checked in on their system to the whole trip A-C, including the leg B-C? No luggage is involved.
Some extra information: (*) Every leg is relatively short within Europe, on economy fare. In particular, changing the A-C ticket to A-D would likely be pricier. (**) The B-D trip could be done with another airline. Does this change the answer?