My ¢2: even living in the USA, I opted for ConnectMiles. I live in Miami (AA market) and fly to Brazil 1-2 times a year. ConnectMiles offers me a few things:

1. Better earning on Azul and Gol flights. Azul flights even account for status as if they were from Star Alliance.
2. Even domestic United flights give me more award mileage on ConnectMiles than MileagePlus, though they do count less for status on CM than MP.
3. Better redemption value in most of the routes I take. Y flights to Brazil are priced at 30k partner (25k on CM metal). After consistently getting 29.5K on UA, I can't find anything under 39.5K nowadays.

If I moved to Panama, it would be a no-brainer. Though if I moved to a UA market such as Chicago, I'd probably move my business back to United.

What I don't get with Copa is an US credit card that allows me to earn on or convert to their currency.