Maybe I am wrong. But how can dU(AW)/dW = A dU(AW)/dW be true? If you set z = dU(AW)/dW and substitute, then z = Az. This can only be true in trivial cases.
Also if you apply ln(P) as utility function then the partial derivate for W yields the same result to U(P) = U(AW) as to U(P) = U(W), namely 1/W. So in that case your inequality does not hold.