I suspect there are other examples. Greyhound offers to take me from Gadsden, AL to the Atlanta airport for $21, changing buses after a 4:45 layover at the Atlanta bus station.
Or I could buy the ticket directly to the bus station for $22.
So I could save (a mere dollar) with the first ticket, and just not wait for the other bus.
Since Greyhound passengers often handle their own luggage, there would be no baggage complications like there is with air.
Any other unwanted consequences, threatened or that actually have happened? For only a dollar, I wouldn't bother, but maybe someday on some other trip it would be the cost of a meal.
In fact, ATL to FLL, one airport ticket that transfers at the bus station is fifteen dollars less than one from the bus station to FLL. So the answer might include consequences (canceled ticket?) for going directly to the bus station for the second bus (especially since Greyhound is terrible about missing connections due to delays).