Firstly, I would strongly suggest signing up for Aegean Airlines Miles and Bonus for you (if you don't have an FF account, then you probably aren't a frequent enough flyer to make any other program worthwhile. Even if you only fly enough to get *S, free bags is better than the nothing you would get with Mileage Plus...

Secondly, when updating FF#, always use the booking reference and update the record with the airline, not on expedia.com. For example, you would go to aircanada.com, put in your booking reference, and update your FFN there. It is much more reliable and will cause less headaches in the future.