Bye for you! Until you have a similar experience with *S would you say Adios *S?

Bags do get lost during multi sectors itinerary. I have my sympathy for you. But:

1>, To call the airline is always a bad choice. There are online tracking system for your bags as long as you obtain a tracking code when you first report the missing bag.
2>, Tracking missing baggage is always handled at destination airport by the contracted handler (or the final sector airline if they have their own staff). Always talk to them first.

If you feel Menzis is not up to the game, your complain is really towards Menzis, not oneworld. In the end, many star alliance members also use third party handler in airports where star alliance is not strong. It could happen to any airlines.

So based on the above reasons, I think it is unfortunate you lost you baggage and I have my sympathy on you. However, this is not an oneworld-only issue, it could happen to any airlines and any alliances. To abandon oneworld on one incident is your own choice, which I think is pathetic. Not understanding how airline lost baggage works is your issue here. You wasted lots of time because you do not know what to do. My sympathy to you again! However, I think it is better for you to at least try to get over the learning curve of what to do next if your bag is missing.

By no means to bashing you. But when someone is ranting, the best thing to do is to explain things from the other side. If you do not understand what I was trying to say, too bad. If you do, you might be a much happier traveller who can handle any situation. Before then, stick with your SAS is your best choice.