I can't speak for why folks from MKE fly Midwest anymore although I sure enjoyed the old Midwest from 5-10 years ago with tons of room and great meals.
But, speaking as a Denverite --- I tend to think we like supporting our local airline, even if its not quite so local anymore. We like to think we're a frontier city and F9 helps support our identity. Its something the ranchers and granola eaters can unify around. F9 is a great brand -- maybe the brand is better than the airline (after a while they catch up). UA and Republic -- they're just other airlines.
Kill the brand -- and kill brand loyalty.