When the HSR line to Dali opened, my wife had bought tickets on it to Dali, and because it was our first time on it, we of course unknowingly went all the way south to the High Speed Train station to board it.
To our surprise we had to then pay for separate tickets from the South station back north to Kunming station at the end of Beijing Road.
@AlexKMG wrote, "Seems like the Metro still hasn't actually connected properly to Kunming station."
The metro (Kunming Railway Station metro station) is connected to Kunming Station. As JanJal mentioned, this is the HSR station of choice to Dali. South station to Dali would be a no no, unless you already reside near Chengong District.
When I last bought tickets, I noticed an updated list for tourists. It talked about the green and red codes.