There are tons of possibilities and none of them is wrong.
The Bernina Express runs through one of the most attractive moluintain areas of Switzerland. Although the train ride is scenic, you can never see all the gems of the area through a train window.
My proposal: eitner you stay a fes days in he Engadin Valley (Pontresina, Sils Maria, etc.) or you skip the Benina Express completely.

IMO in 10-11 days, you can't visti more tham 3 areas.

If you chose Bernina, Lugano are given.
In all ather cases you can combine as you like, may be
Lucerne - Bernese Oberland - Montreux
Lucerne - Locarno/Lugano - Bernese Oberland
Bernese Oberland - Montreux - Locarnoi/Lugano

To Bernina - Lugano you can add:
Lucerne (easiest solution)
Bernese Oberland
Montreux

If I would chose Montreux, however, I would cpombine it with the marvellous alpine areas nearby:
Chamonix, Verbier, Crans-Montana, Val d'Anniviers (St. Luc, Grimentz, Zinal), Zermatt, Saas Fee/Saas Grund, Riederalp/Bettmeralp (Alertsch Glacier)
and not proceed up to Lucerne or even Bernina.

As to the flight: if you add all train and hotel fares in expensive Switzerland, you may remark that - compared to that - the differencies of the airfares lookes like peanuts. Therefore I would book the direct Swiss/United flight which is much less tiring because you arrive at ZRH when it is about midnight at your home. Go then directly to a nice place where you can relax. The Lake Lucerne area seems to be the best for that (jus 1 hr by train from ZRH).

neckervd, Ingo and others: What you've said is very true. I had to step back to ask myself about my very own priorities: which at this stage is to go biking/hiking and enjoy the scenery, so I think I will focus the trip on Berner Oberland area, completely cut out Lugano, Bernina express, Milan etc. Those can be done another time.

Here is what I'm currently thinking:

Day 1 arrive Geneva, bus to Annecy (i've never been) and walk around town; overnight Annecy
Day 2 cycle Lake Annecy; late afternoon train ride to Montreux (3 hours; change in Geneva); overnight Montreux
Day 3 train to Lausanne , boat ride back to Montreux (possibly other stops); overnight Montreux
Day 4 Morning visit to Chateau de chillon, afternoon train via Golden pass to Interlaken; overnight somewhere (maybe choose Lauterbrunnen as our base)
Day 5-9 Berner Oberland (5 days)
Day 10 Luzern for the day, enroute to Zurich (overnight Zurich)
Day 11 Zurich (overnight Zurich)
Day 12 fly home

(part of the reason of ending in zurich is for selfish reason- if the dates work out, i can catch 2 nights of opera in Zurich before flying home)

You waste your time with Annecy, a place which is terribly overrated in this forum.
You don't need to go to Annecy for biking; there are nice biking trails all over Switzerland.
If you are into MOUNTAIN BIKING, you cannot bypass Verbier.

It would be much more scenic to reach Montreux from Annecy via Chamonix (5 hrs journey)
or via Evian-les-Bains

I actually partially biked lake Annecy last summer (we came from Albertville). I loved the quaint old town (which I did not find overrated) BUT the amount of cyclists on the path around the lake was horrendous. I've never been caught in a bike traffic jam before but was shocked at the amount of bikers on the designated bike path. It was actually quite dangerous at times. I was there on France's independence day so we saw the fireworks as well. The train ride to Geneva is easy and quite scenic.

oh wow, that's crazy. It sounded like you were there during a busy holiday time?
Which portion of the lake did you go on? I read that there is still some section that does not have a separated cycle path, and if I'm reading it correctly, that section is the hilly portion on the East side of the lake.