Here is the update. Two days after my flight I contacted Air France on the phone and they were able to confirm that the bag was in Chicago. I then filed a lost/delayed baggage report with Air France (although I already filed one with United), and they said they would deliver it through FedEx within 2-3 days. Four days after the bag arrived at my doorstep! Quite an unconventional way to retrieve it, but I believe that it was wise to call AF (where the root of the problems occurred due to the misinformed check-in agent).
Moral of the story: going through customs without checked bag... never again !!! And always ask for a second or third opinion : )

Congratulations - bet you are relieved. Not often a problem stumps even Flyer Talk.

Exceptionally relieved. My situation could've ended up much worse (especially given the current situation at airports with COVID, inclement weather, etc.) if I hadn't gotten lucky with the customer service line. United's lost baggage report site still marks the bag as 'tracing', who knows how long it would've taken if AF hadn't taken matters into their own hands.

Thanks for the update. Most people don’t tell us the end result. Every experience is a learning moment and I can tell you, your experience with this will help you again in the future. I am just glad you got your luggage.

AF was the carrier that took the luggage in the first place and tagged it incorrectly to Boston so would be responsible for the issue. UA have nothing to trace which is why it is still showing "tracing".

Balthy - actually BOS was the correct final destination. OP neglected to collect the bag at first stop in US and re-drop for ongoing travel.

Thanks for the update.

Just in case anyone reading is still unclear, here it is from the horse's mouth - a step by step guide, with diagram, for connecting at O'Hare (ORD) from the International terminal to the Domestic terminal (actually there are three domestic terminals). Note, a similar process will be the case at all airports that deal with international flights.

https://www.flychicago.com/SiteColle...nsferGuide.pdf

An exception to this procedure would be if you can pre-clear US customs and immigration at your departure airport. This is the case if you are traveling to (or returning to) the US from many Canadian airports, for example. (Dublin and Shannon airports in Ireland are the only European airports that have this feature.) If taking a Canada-US flight, your departure gate can be reached only after you pass an actual border check, and yes, it is staffed with American border guards and customs officials. Once you cross the line indicated on the floor, you will be in a special section of the airport that legally, if not geographically, is to be considered "the US" even though if you look out the departure lounge window, you're still in Canada (or whatever country it is that has such pre-clearance arrangements.) Flights to the US from Canada thus are considered 'domestic' flights, and you will land at the domestic terminal of the respective American airport and thus no customs clearance of your bags will be required.