I am mystified why the ZH segment (which I assume is XIY-ICN) would cause problems for UA to ticket the entire itinerary. I've taken an MP award containing a ZH segment before, so from first hand it's not entirely impossible for UA to issue a ZH ticket.

If you still haven't bought the ticket by now, perhaps go back to united.com and book the SFO-PVG/XIY-SFO open jaw again, price out the itinerary, but instead of purchasing, copy down the fare basis codes and call UA to have the agent book the same itinerary. They should be able to price that itinerary to match yours, but tell them that the PNR probably needs to be queued to the pricing department for the pricing record to be manually built in order for the ticket to be issued. This is certainly more complicated, but it might be worth a shot.

If you are just going with the SFO-PVG roundtrip (which is not a bad option either, IMO), depending on where you plan to be in Shanghai, you can also use SHA (Hongqiao) as an option to/from XIY.

Good luck!