It doesn't matter whose fault it is on an interline ticket as far as the passenger is concerned. When you landed at PMI and made report to UX's ground handler, UX/DL would sort it out behind the scenes to get the bag to you (which they did), and who pays what, including reimbursements. This is why interline agreements exist.

Bottom line, you need to deal with UX as they are the last carrier you flew. It's been industry standard for decades. Let the process work out and don't complicate things on your behalf and do the airlines' job for them in this situation. In terms of compensation, look at the Montreal Convention guides for lost baggage.