Tom,
I was able to interline flying MKE-IAD-DXB-KBL on UA recently without any problems. It did take quite a bit of convincing at the UA check in at MKE - they didn't seem to know about the interline agreement. Be firm in your conviction that it is possible at check in and it should work.
I arrived in DXB at 7:35 p.m., slept in a hotel that night, and left on the Safi flight to KBL the next day at noon, and all three of my bags arrived in KBL without any problem.
Cheers,
Marc