>> So I can either go via St Moritz or Lugano?
Yes, you can. See attached screen shots.
:: Two changes (Zürich and Lugano)
:: Via Lugano you get to experience lake views, including the beautiful descent into Menaggio and a trip along Lake Como.
Via St Moritz
:: Three changes (Zürich, Chur and St Moritz)
:: Via St Moritz you get to experience a beautiful sector of the Glacier Express route between Chur and St Moritz, then the pretty village of Sils Maria and the Maloja Pass between St Moritz and Chiavenna.
>>We had thought the Maloja pass would be interesting
Yes it is - it is a forested pass with lovely views into the Bregaglia Valley as you descend. The stop "Promontogno, Posta" is also in a pretty village.
>> but when I go to the Palm Express website and search St Moritz to Chiavenna on Dec 26th it says there are no connections so maybe it isn't running?
Yes, it is running on 26 December, leaving St Moritz at 12:20. That is the only departure for the day. (See screen shot.)
But please note, as Arno said, you do not need to catch the Palm Express to get from St Moritz to Chiavenna. The main advantage offered by the Palm Express is that it provides a direct service between St Moritz and Lugano, avoiding the need for multiple changes. However, this is not relevant if you are only travelling from St Moritz to Chiavenna.
If you are leaving Kreuzlingen at 8.06, you will arrive in St Moritz at 12:58 and can catch the #4 Bus to Chiavenna at 13:15. (See screen shot.)
Bus #4 runs from St Moritz to Chiavenna at mostly hourly intervals throughout the day and doesn't require reservations. It follows the same route as the Palm Express as far as Chiavenna, but services more intermediate stops. You might also need to change buses at the stop "Maloja, Posta".
Although it is not apparent from the timetable, when I took the #4 bus recently from St Moritz to Promontogno on my way to Soglio, we had to change buses at the stop "Maloja, Posta". The second bus was also a #4 bus. This happened on the way back as well, and I saw the same thing happening with other #4 services. I don't know whether that was just a short-term thing or whether it happens regularly. In any case, it is a quick change at the same bus stop - you don't have to walk somewhere else to get the other bus. Just remember to retrieve your luggage ;)
I hope this helps.