It could be just a MKE thing...last year I did a few MR for segments to get CO Gold to MKE. I flew Saturday mornings BWI-CLE-DTW-MKE-DTW-CLE-BWI on a cimbination of NW and CO (before CO changed their program). I would have to get my return boarding passes in MKE and I was questioned a few times but nothing more. Like your experience, I told the truth that I was doing it to get a higher elite status...

On the other hand the BWI agents who checked me in thought it was amusing that I was doing...never any questions or concerns.