Provided your luggage in LAS is tagged all the way to FRA, you will see it only in Germany and it is there where customs clearance will take place. As a rule, for flights within Europe (expect for flights to Norway, Ukraine, Russia and some other countries) customs are cleared at your final destination.

In Amsterdam, you will go only through immigration, since this is your first entry into the Schengen zone.

Provided you are flying back to the US with the same routing, your luggage in FRA will (well, should) be tagged to LAS. In Frankfurt, you do not clear customs (unless you want to claim VAT for purchases which are in your checked luggage); nor do you go through passport control. In Amsterdam, you will go through immigration and, if you want to claim VAT on good which are in your carry-on, through customs. Upon landing in ORD, you should pick up your luggage (even if it has been tagged all the way to LAS), clear immigrations and customs, drop off your luggage at UA counter and enjoy your hop to LAS. There, you will be reunited with your luggage.