I haven't seen a CVM list for either so I don't know the details for these specific cards, but PIN can be "online" or "offline".

Online PIN works like magstripe PIN debit in the US today. The PIN is sent over the network and verified by the bank. In this case, a PIN change is trivial since it only has to be changed in the bank's computer system.

Offline PIN is different, where the PIN is verified by the card itself. In this case, a changed PIN has to be somehow written to the card. In Europe many ATMs allow customers to change their PIN, which would immediately write the change to the card. I've also heard that PIN changes can be done over the phone, then the next time the card is used, either the old PIN or a signature is obtained, and at that time the new PIN is written to the card as part of a command sent by the issuing bank.

Wells Fargo cards support offline PIN only, and they say it can't be changed. I don't know if that's really true or if they say that because they don't have any infrastructure of their own to change it yet, but it could allow a change at a foreign ATM, for instance.

Barclaycard US supports online and offline PIN, and they allow changes, and state that the new PIN will work after the card is used once at a terminal with a cashier (this is because the card will prefer signature over PIN, and any location with a cashier should support both thus the user will be asked to sign, removing any confusion about using the old or new PIN).

All this is immaterial for the United MileagePlus cards though, since Chase doesn't support PIN for purchases as all, only for cash advances which are always online PIN.