There is always a chance. But the bigger chance, in my opinion, is that DL will only charge you the excess baggage fees to PVG. I have seen that with other airlines across the Atlantic. People think they paid all the way to their end destination, then when they arrive in the US, they are hit with another excess baggage fee. It is crucial to double check that DL is charging you all the way through.

Get to the airport early. You don't want to have to rush the agents through this - they need to manually enter the connecting flight info, etc.