Mike:

I'm not sure about this one, but I know if it's *Alliance you can just check in and your baggage would end up at your final destination. You'll probably have it checked to LHR (and yes 2.5 hours is enough time) then have to pick it up and take it to Air France where you'll check in and have them take over at that point.

However; some other folks may have different ideas on this one. And yes, UA would be in charge of your baggage from your start point to end point.