Whether you need an ETA or not to enter (UK or non-UK citizen), as far as United is concerned, you are a Polaris customer whose flight terminates at Terminal 2, LHR. You are not connecting. You hold two totally separate tickets, one terminating at LHR, and a second ticket originating at LHR. I don't see a reason why you can't do what you want to do. Pick up your bag, clear C & I, check in at the Icelandair desk to check your bag. Then go back to the Arrivals Lounge for whatever time you can before heading for your flight to KEF.