Let me try to be more specific. If you paid for all of your travel and only flew in First, your loayality would not be to the airlines but to the schedule. Why in the world would you fly from SEA to ATL on United that requires a change of planes when you could go on Delta non-stop? Why would you fly Delta to Chicago that would require a change of planes when you could take United non-stop?

Flying paid first class gives you all of the benefits that mileage programs shower on their members. The only reason why you might want to stick with a mileage program is if you do not pay for first class tickets and want the miles for upgrades/award travel.