Departing from the US, I also have never been able to get my SK or LX intra-Europe connecting flight BP issued by UA, whether through united.com or at the airport with an agent. Even if united.com says you have to see an agent at your originating airport, they won't be able to issue you a BP if it is a UA agent. I've tried both at the check-in counter as well as in the United Club.
I've always had to wait until I got to the city where the codeshare partner departs from (AMS, ZRH,...), to get the onward boarding pass at a transfer desk. At that point they reconfirm your checked bags, etc.
Strangely, when checking in from the other direction (e.g. checking in with LX in Europe), I am able to get LX to issue my UA boarding passes all the way through my final destination in the US...