1) You have UA silver status with the United CC? If so, then that’s good to get E+ seating upon checkin for any UA flight (along with a checked bag and whatever else they offer). You would need to list your CM FF number on any United booking that you want to earn ConnectMiles miles on. However, if you do this, then you might not be able to obtain E+ seating etc. You can chop and change your number to suit conditions though (or at least you used to be able to). If you have 0 United status, then just enter your CM FF number each time you book a ticket on UA (making sure to select Copa/ConnectMiles in the drop down)
2) Generally I would recommend someone to only accrue on one airline. Otherwise you might have a meaningless amount of points across 2 airlines, vs a decent amount of points on 1 program