I have similar questions. I have booked a KL OPRAU fare with legs:

BNE ICN KL9163 (KE124) class D
ICN AMS KL856 class O
AMS MRS KL1265 class J

AMS HKG KL887 class O
HKG BNE QF98 class I

My preferred SkyTeam FF plan is now KE. I guess I can put my KE number into the BNE ICN leg and the AMS MRS legs, keaving KL for the O class legs. Can I change these myself online somehow or do I need to do it via my agent before departure, or at checkin? How will it affect the KL miles if I do so? (KL miles awarded now seem hard to determine in advance. The ticket is on KL stock.)

All very confusing. KE miles are better for me than KL because they last longer. I don't fly SkyTeam much, so KL miles tend to expire unless I donate them to charity.