Are you saying you booked a CO flight on CO's website and they later changed you to a UA flight? That is ridiculous indeed. I too would be upset at CO just for that alone.
As far as the luggage being lost, that blame is fully on UA and would need to be dealt with by UA, that part I agree with CO on. You would give them your CO baggage claim number as they seemed to have accepted you as a passenger for some sort of a flight irregularity, I'm guessing??
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