Apologizes if this has been posted but I didn't see anything. The old united site let me download each segment an properly have those show up in iCal on the Mac. Now, when I book a round trip flight and download the event, it blocks out the entire time from when the first flight leaves to when the final flight returns. I hope it can work like the old way again soon.
I know it isn't what you are asking for here but I stopped downloading segments a good while ago in favor of TripIt. You can arrange for TripIt to automatically pick up your confirmation mails, create a trip, and then you can link your calendar to the one TripIt creates and get all the info (plus a lot more) in one place with virtually no work. If you already know all about this and it doesn't help, forgive the post. I never assume folks necessarily know about all the tools out there.