I've flown courier before to London (Jupiter/Micom from JFK, on UA). I signed a contract that specifically excluded frequent flyer miles. The box on the ticket where you would ordinarily see your FF# instead said "NO MILES". Although I saved about $100, the savings did not make up for the loss of the miles (or, in my current case, double miles). I have not flown courier since. My understanding is that some courier outfits offer miles, and others don't. You just need to check before booking something.

The better courier deals are for those that can fly last minute, as they are heavily discounted (I've seen some for free, or $100).