I've done this exact flight in the past, and I think you just got a bad agent. CA is outsourced to AirServ (or some equivalent...) at both of those airports. Also, if you're elite, it's easier to go to the "little red house" at SZX where all of the business class/elite check-in is done for Air China and Shenzhen Air.
From ORD-PVG-SZX you have to claim and re-check your bags because of Chinese Customs. Same thing when you get back into the USA and have to claim/recheck your bags when switching from an Int'l to domestic flight. PVG doesn't have any kind of recheck area for ANY airline - you just have to take your bags upstairs to the check-in area and recheck.
However, going back SZX-PVG-ORD, they should have been able to check your bags through to ORD. I've never had an issue in that direction. So, my suspicion: bad agent. Sorry.
