I have noticed that it seems cheaper to book two tickets rather than one for carriers where a codeshare agreement exists. Are the carriers under an obligation to transfer the luggage under the codeshare agreement?

Are there any pros and cons in booking separately. for example if the flight was delayed and you missed the connecting flight would the airline cover it or would you have to buy another ticket?

If you book separately, your luggage may or may not be transferred automatically. Depends on the airline and the airport.

If you are late, then you'll be a noshow on the second leg. You'll have to buy another ticket or hope the airline will help you out. Which doesn't always happen.