Your luggage will be checked through PNH and your transfer will be airside as it's an international connection. No need to clear immigration and to collect luggage in BKK, but you'll have to clear security at BKK. If KL is not able to give you your boarding pass for the PG flight, you will have to obtain it at a PG connection desk airside. In this case, don't forget to show the baggage receipt to the PG agent. But I think you'll be able to have it in TLS as AF(KL) is able to deliver PG boarding passes.
As said by snickerstestpilot, you can't use the Skyteam lounge to connect on PG, if the flight BKK-PNH is under a PG flight number (which seems to be the case according to the infos you gave). But you have access to the PG lounge (even if you fly Y).