SK in ARN won't do it. UA agents shouldn't be a problem. But guess what, when travelling to the US, you need to get your bags at ORD, walk through customs and then give it back to the connecting carriers. And in ORD, they actually have a nice UA desk, where they can tag your baggage.. without you having to haul it through the train and into another terminal.

Either the SK agents simply dont want to do more work (like typing in the terminal). or the system really won't let them do it. It's some kind of point and click windows system they use for check-in.

I had similiar issue two weeks ago. Though my connecting flight was already visible on the itinerary and I had a print of it. In previous experience, as long as the two airline have interline agreement, it's a trivial matter to add the flight segment for baggage. I have done this quite a few times at different places.