I'm somewhat confused as to the timeline of the formation of the 12th Mo. Cav. as you've given. Perhaps I can help.
According to my source, (Guide to Missouri Confederate Units, 1861-1865 by James E McGhee), what eventually became known as the 12th Mo Cav began forming by Upton Hays in July and August of 1862. Hays, being a Jackson County Mo. native (and the great grandson of Daniel Boone through Daniel's son Daniel Morgan Boone who settled in Jackson County in what today is known as the Swope Park area), began his recruitment for this unit in his home county and Hays and his early recruits took part in the first Battle of Independance on Aug. 11, 1862, and 5 days later at Lone Jack, Mo. After the Lone Jack battle, Hays began his movement to Arkansas, being perused most of the way by Federal calvary. After a brief stay in Arkansas, Hays command moved back to Newton County, Mo. where it was mustered into Confederate service around Sept. 12, 1862, as part of Joseph Shelby's brigade and designated the 12th Mo. Cavalry, CSA.
I believe there exists a lot of confusion about the naming of former Missouri State Guard units when they transferred into Confederate State units. For example, in the case of Upton Hays, I believe he had been a captain of an MSG cavalry regiment and by Dec. 1861, was made a Lt. Col. of the 1st Cav. Regiment, MSG. By Feb. 1862, Hays' enlistment in the MSG had ended, and he began his service with the Confederacy while in Texas and Arkansas and was initially made a LT. Col. in the yet-to-be-formed 2nd Mo. Cavalry. Hays was sent back into Missouri in the spring of 1862 to begin recruiting for this regiment, but his recruitment wasn't completed until September of 1862, as listed above. By that time, another unit of cavalry, that was made up of consolidated MSG cavalry units, had been given the designation of the 2nd Mo. Cav., CSA under the leadership of Col. Robert (Black Bob) McCulloch (who happens to be buried a couple of blocks from where I write this). Therefore, since the 2nd Cavalry designation was already taken, Hays's unit was named the 12th Mo Cav. According to the Watts-Hays letters, the day after Upton Hays was made Colonel of the 12th Mo. Cav., he was killed in a skirmish outside of Newtonia, Mo. and the leadership of the newly formed 12th Mo. Cav. was given to Beal G. Jeans until he resigned in 1863, and the leadership was given to David Shanks. The unit also had the informal name of the Jackson County Cavalry due to the large number of men in the regiment from that County.
If you haven't done so by now, if you haven't read the Watts-Hays letter (available online), I cannot urge you strongly enough to do so. The content of these letters, written by Upton Hays' wife to her daughter in California begins in 1840's and continues through to the 1870's and is a veritable treasure trove of information of what it was like to be a Missourian living in western Missouri during the time period. Mrs. Hays was very informative in her letters to explain to her daughter what was happening in Jackson County, especially during the 'Bleeding Kansas" and Civil War periods, and she gives the names of what happened to who. (the named mentioned in her letters are indexed). Perhaps you ancestor is listed.
A link to the letters-->
Letters and other writing, from 1849 through early 1900's, of the Watts and Hays families of Jackson County Missouri and Mariposa, California.
www.wattshaysletters.com
With regards to your ancestor riding with Quantrill, it's probably doubtful, especially after he enlisted in the 2nd./12th Mo Cav. Quantrill moved to Kansas in 1857 and initially had great respect and shared the views of future Senator James Lane. In 1858, Quantrill signs on as a teamster hauling freight to the army posts to the western territory of Utah. When Quantrill returns to Kansas, his political views with regards to what was happening in Kansas had changed 180 degrees. Freighting to Santa Fe and the western territories was a very prominent business In Jackson County, Mo. during this time period, and perhaps the associations Quantrill made with his fellow Missourian teamsters during this trip changed his views. I'll note that in addition to being a farmer, Upton Hays was also heavily involved in the western freighting business. His farm was located a few miles south of the Westport area of the Kansas City metro area, very near present day Swope Park, and he is buried near his home in the Confederate section of the Forest Hill Cemetery, (East 67th Street, which is four blocks south of the Boone-Hays cemetery, East 63rd Street. Daniel Morgan Boone is buried here).