Japan-shanghai-Denmark(with a few hours layover in Bangkok)

I want to travel from Tokyo where I'm currently living to Shanghai for the 144 free visa and then back to Denmark. But the nonstop flights from Shanghai to Europe are extremely expensive, so I found that the cheapest way is to do a layover in Bangkok. My question is; does your flight tickets need to be with the same airline? Tokyo-Shanghai would probably be with a different airline then the Shanghai-Denmark would be. And question number 2: does it matter if my return ticket include a few hours layover in another country, or should it be a nonstop flight from Shanghai?