1) Yes, they can check your bag straight through. This has nothing to do with *A, airlines interline bags all the time.

When you check in at MEX, show both tickets, and ask to have the baggage tags printed up for the whole itinerary. It CAN be done.

2) Yes, you have to clear customs at SFO. After all, you are entering the USA. I am not sure whether there is sterile transit for baggage through the US--I am pretty sure there is not, which means you have to claim and clear your bag, then put it back to recheck.

3) AN have to change the ticket--it is their ticket stock. However, you can use the ticket to stand by for an earlier flight (if there is one) on UA.

4) Which leg? You cannot reward an upgrade ticket on UA. But if your flight on NH is revenue, you can always buy an upgrade (at very punitive cost, I might add).