Can't help on the lost baggage policy, but can offer a data point on their generosity on late and damaged bags:
1) SWA didn't get our bags on the plane on a return flight home from a trip. No big deal, we're going home. They offered $50 voucher if I picked up the bags at the airport the next day -- which I happily accepted, and did.
2) SWA damaged a bag on another flight -- a small hole, a slice, and a ripped seam. Showed them at the airport baggage claim department. After some brief back-and-forth, they offered a $100 voucher for compensation, which I accepted. The bag is repairable, just won't look as pretty -- no big deal.
So, personally, I think SWA will help you out. It's frustrating, I know, but they seem to be pretty decent all around.