It is cheaper to buy a MPT ticket anyway and add all the reservations for the stopovers.
It is true, MPT is the cheapest way to travel long-distance in Russia (mainly due to cheaper reservations comparing to East-West=CityStar), especially if not in Russian carriage, where sleepers are usually even cheaper.
...but they all seem to just send me the quotes for the individual domestic tickets for each segment
That is the common thing and type of reply from the agencies, they usually just go with the simplest option, which is usual domestic ticket.
1. If the price for the MPT ticket would be considerably less. If that is so, I could try to buy it myself once I am there
Not very considerably, but less. For instance ticket+reservation Moscow-Ulan Bator cost from 290 to 330 CHF (depending on whether carriage is Russian, Mongolian or Chinese). Obviously stopovers will add up some value due to the need of buying bunch of reservations (instead of one direct), but still total will probably end up being cheaper than domestic (here we speak about 2/4 --> 'kupe' 4 bed sleeper class travel) tickets.
does anyone know how complicated this can be?
In Moscow it shouldn't be a problem, especially in places like
MZA. If to say in general, then obviously MPT tickets are bit more complicated (comparing to domestic ones) and require some knowledge from the cashier, but at the international ticket counters in big cities on route of all the Moscow-Beijing/Ulan Baator/Pyongyang it shouldn't be a problem to get one.
2. Does anyone know some agency that would issue the MPT ticket and the reservations? I could pick up the ticket next Monday in Moscow.
Don't know any reliable in particular, but maybe somebody like
Helmut Uttenthaler can help here. First of all he is probably one of the best experts in that type of train travel, plus, as far as we remember, he had somebody in Moscow, who was helping him with all the tickets