What does UA propose you do? They sold you (for miles) the ticket from AMD-ORD. They should provide a way for you to get from AMD to ORD. (You may want to ask for help on the UA board if you don't like their answer.)

My experience is that 9W will let you have 2 free bags if you show them an international ticket you are connecting to, even if not the same PNR. But, this was a few years ago, and it's not the policy, so you should come prepared to pay for your bags.