I just got back from an ORD-HGK-MNL-HKG-ORD trip...we did the longhaul on UA 895/896 and the short legs on Cathay (I try to stay away from PAL whenever possible). They were on two itins (the same cost consideration, even though we booked business), but I was able to tell UA (and Cathay on the way back) to check my bags through to the dest city without a problem. At transfer checkin in HKG, for example, I gave my bag check #s to the UA agent. They were pulled, and the CX priority tag was replaced with one of the familiar orange ones. Not a big deal at all.