Update: I talked to a gate agent before boarding a flight to PVG, she also was skeptical this could work and changed something in the system so that the bags would be only checked to PVG. I got the bags on the carousel in PVG without any issues.

This wasn’t even MU, it‘s an interline ticket between LHG and KE, so pretty much zero chances of this going right unless it’s some very well established thing in Shanghai (and it apparently isn’t).

Thanks everyone!