Just to update this for anyone else who might be connecting in KMG, I had an international to domestic connection in KMG all on MU.
My luggage was checked through to final destination.
On disembarking at KMG, a MU representative was holding a sign marked " TRANSFER", and handed out forms for cell phone contact
information in case there was any problem with Customs.
Then through immigration and through domestic security, into a fairly decent lounge; and my luggage was delivered at final destination
without my touching it again. Easy Peasy.