UA and Azul being code share partners has nothing to do with the requirement to go through immigration and customs at your first port of entry (just like you would at your first port of entry to the U.S.). Your flight to Belo is a domestic flight; no immigration or customs at the end of that flight. UA can't help you avoid going through immigration and customs to enter Brazil.
We have flown Delta and Gol (code share partners), as well as other carriers that weren't partners, and the process to enter Brazil is the same (immigration, customs, then take your bags to a transit desk, where you'll get your boarding pass, then go through domestic flight security to your flight).
United and Avianca International are both in the Star Alliance. Avianca Brasil is still operating separately from Avianca International, but I assume that before too long they will merge and Avianca Brazil will become a partner with United. Not sure if Azul would continue as a partner. Anyway, even if you were transferring to TAM or Gol (as we may do on an upcoming international trip involving United to/from the U.S.), your bags would be tagged to your ultimate destination, and you'd transfer per above.
BTW, it is imperative to have your bags tagged for Belo, so that the transfer desk doesn't try to charge you domestic baggage fees for that trip (i.e., as a separate trip). United in the U.S. will do this routinely.