I agree with Mike and AZstar...I don't see the point.
Feel free to change your allegiance over to United, but there is no benefit to closing your account with Frontier. Might as well keep it open, earn miles if you ever fly them again, and use your existing miles for reward redemption when the time is right.
There is always the chance that your accrued miles become valueless in the future. If that's your concern, then I would use your current miles, but still leave your account open.