Rarely, for two reasons:

1. On other carriers, a direct flight with the same flight number on the continuation may still involve a change of planes (because of a change of plane types, which Southwest doesn't have). And it may still have a change of gates (because of the change of planes)! So it's all the plane-changing confusion of a connecting flight with none of the clarity of a different flight number.

2. On carriers where you earn based on the distance flown, with a direct flight you only earn on the distance between your initial origin airport and your final destination airport, no matter how roundabout a route it was because of the stop along the way. (For example, that direct PHL-PHX-PDX on US Airways which you mentioned would only earn based on the PHL-PDX distance, while a connection on the same routing would earn based on the PHL-PHX distance added to the PHX-PDX distance.) If you book a connection with different flight numbers, you earn based on the distance actually flown. For this reason, on airlines where you earn based on distance flown, most FTers tend to hate (and avoid) "direct" flights with a passion!

Obviously issue #1 doesn't apply to Southwest because they don't have different plane types to change. And obviously #2 doesn't apply to Southwest because you earn based on cost paid, not distance flown.