Well, I just wanted to post the final answer after my trip.
I heard three different stories from agents at various airports, and nearly missed my connection trying to listen to their incorrect information.
It turns out that UA does interline with Aegean (and Olympic, too, incidentally). My bag got tagged at SFO all the way through to SKG.
The bottom line is that there was no need to retrieve the bags at either FRA or ATH. The first time I needed to get the bags were at SKG. (As a reminder, the trip was SFO(UA)FRA(A3)ATH(A3)SKG.
Now, if you want the longer story: I was told that I would have to retrieve the bags at ATH, take them through customs, and check them back in. I waited at the belt in ATH, and only one of the two bags came out! I asked the Aegean agent, who quite rudely told me to just put the bag back on the belt (!), and someone would pick it up and put it on the flight to SKG. I asked, what happened to the bag that never came out? He said "there is no magic."
So, basically, it turns out that one bag got "intercepted" before ending up on the ATH belt, and the other mistakenly ended up on the ATH belt, but even that bag would have been picked up off the belt after it was left behind. Strange system they have in ATH, I tell you. Anyhow, we get to SKG, and the bags do not come out on the belt. We were thinking they never made it, of course. Luckily, we caught up with the Aegean Air baggage agent, who was almost out the door on her way home (we were on the last flight of the night). She directed us through the bowels of SKG airport to the customs area, where our two bags were sitting on another belt, all alone. Basically, the ground crew at SKG knew from the baggage tags that these bags had not cleared customs, so they did not come out on the ordinary domestic belt. Of course, we would have had no way to know this, had we not been so lucky as to catch up with the lady.
Bottom line, we got our bags, but after a lot of running around and stressful moments!