No need to panic. Call Cathay and ask them if the interline baggage with United. They certainly used to and probably still do. At PVG you will go to the international connections counter, show your checked luggage tag from CX and get a boarding pass.
FYI, the airlines CX interlined with in 2012:
CX-160 CATHAY PACIFIC AIRWAYS (as of Aug 2012)
MAY CHECK BAGGAGE TO AA AB AC AE AF AH AI AM AS AT AV AY AZ BA BD BG BI BL BP BR B6 B7 CA CI CM CO CZ DL EI EK ET EY FI FJ FM GA GF GN HG HM HR IB IC IG IR JC JJ JL JO JP JQ JU KA KC KE KF KL KM KQ KU KW LA LG LH LO LP LR LX LY MD ME MF MH MI MS MU MX NF NH NU NX NZ OA OK OM OS OU OZ PG PK PR PS PX QF QR RA SA SB SC SK SN SQ SU SV S7 TA TG TK TM TN TP UA UL UN US UU VN VS VX WS WY W5 XL ZH 4M 9W