I don't think this is true. I am pmUA and at the merger continued to use my former password with my new MP #. No problems with that, it seems. The same goes for Mrs 1P.
Neither of us has ever had a PIN. The website asks me from time to time to set up a PIN, and I have always ignored it, so as far as I am concerned (and I think UA too) I just don't have a PIN at all. If I do unknowingly have one, I have no idea what it is. Same thing when I access Mrs 1P's account: it asks me to set up a PIN and I just ignore it.
If your account came from the pmUA side and you never setup a PIN, you don't have one. I don't know what consequences it will cause but I seem to remember hearing you will be asked for it under some calls for award flights. I am trying to remember but was quite a while ago so the cobwebs may be making my memory fuzzy on it so hopefully someone can confirm or correct. But for basic online stuff you don't need a PIN.