AFAIK, baggage must be checked to the same destination for all pax travelling on the same PNR. (Some (I don't know whether all) airlines are able to split a PNR if necessary, but this can be a certain amount of hassle). However, if you are travelling on two separate PNRs, then it shouldn't be a problem to check bags to different destinations (as long as MU allow short-checking).

Once you get to PVG, you should have a better chance of checking baggage all the way to ZRH (as it's all on SU metal from that point, and it'll be a few hours closer to the departure of the ZRH flight). However, as it's still two separate tickets, I wouldn't say it is guaranteed that SU will be willing/able to do it.

I wouldn't foresee any problems getting visa-free transit to go landside in PVG to re-check a bag (and if you're on MU548/MU8152, you might just have time to ride the Maglev into town and back, so you could justify asking for entry as a tourist... ) but I don't have direct experience of visa-free transit at PVG.

Ahh... This is probably a slightly bigger question-mark. Having to collect a BP in SVO isn't a problem in itself - the bigger question is whether you will be allowed to board a flight to SVO when that is the final destination on your ticket and you don't have a visa to enter the country. AFAIK, the standard transit-without-visa-rules only require a (confirmed) onward ticket to your next destination - it doesn't have to be the same ticket - and so as you have an onward ticket to ZRH, you should be OK. However, I don't know how SU or the Russian authorities will view this.

If you're back at BKK any time, you might want to direct these questions to the SU desk there (although IIRC, it's only open around the time SU flights are arriving/departing).