Let's give a simple answer to simple question.
Originally Posted by iwillflytheworld
Suppose that I have a MP account and I fly with another *A airline. Do I have to request the miles to go into MP? Will miles go ONLY to MP and not to the airline's native program?
Your miles can go (once only) into any program you want but, as Lurker says, best to keep them all with your MP account. They'll be credited to your chosen program automatically as long as you provide the account number at reservation and/or check-in.
Now, which program gives you the best perks and mileage deals...that's a more complicated question