The net effect of this is that you have to take the 5 minute ride on the local train instead of the LD train. In any case you had to disembark at JB with your bag and baggage for border processing.
Apparently the only train that does not have a connection is the afternoon train to KL. As far as I can tell, the other LD trains all connect to various local trains between Woodlands and JB Sentral.
Until Malaysia decides to do their border processing at Woodlands and not at JB Sentral this makes a lot of sense. Once they start border processing at Woodlands then it would make sense to run the LD trains through. Hopefully when they get around to introducing ETS service on the KL - JB - Singapore sector they will consider doing this. For now it primariy seems to be a cost saving measure and operational efficiency measure. Afterall they had to drag the consists across the causeway back to malaysia to service them since they never built any service facility at Woodlands.