Have done this often (US air miles credited to United MP). Two cautions; always make sure your MP number is in the reservation/boarding pass and you may not get miles for US air flights operated by America West.

If you don't have your FF number in the boarding pass I understand the airlines are concerned you may be trying to "double dip". As for the America West there have been mixed signals as to whether they qualify for *A or when they might qualify. Probably not issue for DM members but could be for MP members.