It is not uncommon for PNRs on multi-carrier itineraries to not include all flights in a reservation, but only those on the specific carrier.
Generally, the whole itinerary will appear in the PNR of the issuing carrier, which in this instance appears to be United. (If you look at your ticket number, I would bet it would start with 016.
Trying to decipher your message, but it appears that you are flying MXP-FRA-EWR-PTY?
If so, in Milan you will check in with Lufthansa, and/or use their online checkin system. They should be able to give you boarding passes all the way to Panama City, and your bag should be tagged all the way to Panama as well.
Are you then doing the same itinerary in reverse for your return? If so, you would then be checking in with United in Panama City and/or using their online checkin.
And since you will be Transiting EWR, how much time do you have between arriving and from Frankfurt, and if transiting EWR on your return from Panama City?
I would personally reccomend allowing for between two and three hours to transit EWR as a non-citizen.