When flying internationally with multiple legs, I've ran into the situation where I'd use the web check-in but get the error message:
Onward flight not checked-in. [HR 2606]
The possible reason is, that you're trying to check in too early. So although you might be able to check in for the first leg, you're too early for the second leg.
This situation had me stumped twice, until I realised the above reason is what might go wrong. The error message is not very helpful of course, so I'm hoping this is the actual reason, and documenting for everyone else. Here's hoping Google finds this.