You did nothing wrong and ,as a non-rev companion, you did the right thing by checking with the flight attendant. As non-revs most of us have encountered this problem.

Usually, if you are connecting they check the bag through to destination and will give you a computer generated baggage claim. Single segment (non-stop) the'll likely give you a gate checked baggage claim. This is important because if they give you a gate checked claim (usually green) on a connecting flight, you'll likely find you bag somewhere at the connecting airport. There are no security concerns as this is done hundreds if not thousands times a day. As a non-rev keep your carry-on in you control as much as possible, especially when connecting. You may not get on the connecting flight and if you have to spend the night, it would be nice to have your bag.