Last year i flew form TLV - PHL - EWR
I wanted to get off in PHL ... In the airport in TLV the guy told me that US law was that since you gotta go thru customs in the USA ... and customs is always the first destination (PHL) My bags will come out and I will have to take them thru customs...
Thats waht happened!
I just took my bags and left.
Regarding a lost or delayed bag - Since you need to pick up your bags and go thru customs... you gotta re-check them in, so if they are delayed or lost it would be that airport where you prob will deal with it