Stun target non-stunned character you control. If that character has the Villains United affiliation, you may recover it.

If the targeted character is VU affiliated, can you respond to the recovery effect with a KO effect with things like Finishing Move, Annihilation Protocol, etc.?

No, effects resolve as a whole so the character is stunned and recovered all in one single event with no breaks in the chain at which you can respond while the character is stunned.

-Mike