transfer ICN
 

Will be arriving from US on Delta and changing to Korean Air going on to Bali. We will not be given our boarding pass for Korean Air until we get to ICN. Will we need to pick up our checked baggage and recheck in with Korean Air? It appears that both airlines use terminal 2.

Nope. They have a JV and hundreds if not thousands of people now do these types of transfers every day. Your bags will make it. Very easy transfer process. Delta may give you a "Delta boarding pass" for the Korean Air flight number, but it's useless. As you said, Korean Air requires you to have their printed Korean Air boarding pass to board your Korean Air flight.

You just need to visit the airside transfer desk to get your onward boarding pass, luggage will go straight through