UA had 43 percent of the flights out of DEN in February 2016, the most recent month for which data are available. (Source.) Southwest had 29%, Frontier 13%, and nobody else more than 6%. Unless Southwest's program meets your needs, and you haven't given us enough information about your goals in an FFP for us to weigh in on that yet, you may be pretty much stuck.

Unless there's something specific that UA's program doesn't offer, that another airline's does, and that is really important to you, I'd live with it. If it helps, try repeating "Frequent flyer programs are not the most important things in life." (FT heresy, perhaps, but true.)