Personally, I will be very careful before ever doing this again. Last summer, I booked tickets from the US to Africa via UA, flying on UA metal to FRA then LH metal between FRA and Africa. I was waitlisted for upgrade to J on the redeye between FRA and WDH and didn't get it. No problems, that's why it's a waitlist. LH let me use PP to upgrade the redeye flight from CPT to FRA so I was happy with that until I tried checking in the night before my return flight only to find that LH wouldn't let me check in.
When I dug in, LH had lost my reservation for the segment going from CPT to FRA but somehow still expected me on the FRA-DEN flight. LH was blaming UA for not following through on something, UA didn't know what LH was talking about but went about trying to help me get home. It took the UA MPC 2 hours to straighten things out and restore my original booking (LH had taken it over when they took my PP upgrade) but of course I now no longer had an upgrade on that flight since it was now sold out up front.