I think you're right, the main benefit would be that you could walk away from flight #2 without affecting flight #3 if you had to.

The benefits of a single itinerary are paying a single change/cancellation fee if necessary and, perhaps, the airline being more willing to accommodate you on the downstream flights if something goes seriously wrong with one of them.

Another difference would be that if you bought the second flight from an airline other than UA, which is more likely as a separate itinerary, you wouldn't get PQD for that portion (not sure about how the RDM would work out if it's a partner flight ticketed on United vs. ticketed by a partner). Of course it's small in the scheme of things.

You just have to weigh the upsides and risks of either approach.