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What you are calling a "transfer" is usually known as a "connection". What you are calling a "direct" flight is a "nonstop".

You will receive more miles for flights with connections than for nonstop or direct flights. How much more depends on the route. An example: If you fly BOS-SEA you will receive miles for the distance between Boston and Seattle. If you fly BOS-IAH-SEA (with a change of planes and flight numbers), you will receive miles for the distance between Boston and Houston plus miles for the distance between Houston and Seattle. I do not know the exact figures, but the flight via Houston should be worth several hundred miles more than the nonstop.