It's not just upgrades - it's any seat on a direct flight. The same seat has to be available on both segments in order for you to be able to select it yourself online.

If you call the CP line though, they can do the separate seat assignments but it doesn't split the 2 segments.

I just got upgraded on a direct flight for later in the week and had to call for seat assignments - 2 separate seats.

Incidentally, I did read somewhere that there's a way around this problem if you book a multi-segment itinerary on Expedia. I tried it: PDX-JFK is a direct flight with a stop in PHX. If I price PDX-PHX, then PHX-JFK, initially it just marries the two segments (just as usairways.com does) - but then when you go to the payment page, you get a message saying "good news! your price has dropped!" (usairways.com does NOT do this).

Just guessing that the Expedia engine is being smarter and seeing and applying the PDX-JFX fare rule, rather than just blindly adding together the two segments.

Whether this results in two separate segments for mileage/segment count/upgrade purposes ... I don't know from personal experience. Would be great to know though if someone has actually done this.