I keep some status going on both UA (1K or 1P) and C0 (Silver Elite). You may want to consider doing the same. If you can do it, I think that dual loyalty makes sense these days. IMHO, CO is your best choice for an additional airline. With CO you get pretty good treatment (easy domestic upgrades, priority check-in, extra baggage, etc), and status miles on Northwest, America West, Alaska, Midway, and others. You can easily get a one-time comp to Gold (or maybe even Platinum? not sure) with your UA status. Silver Elite level is just 30 segments or 25,000 miles a year. If business calls you to a place that is off-line or a high price for UA, you'll have good options. Just this month I'm doing a back to back, with one ticket on CO and the other on UA. I don't have to worry about someone in accounting snagging me for breaking rules. And I'm accruing status miles/segments that matter in the frequent flyer game on both airlines.
I've noticed the same thing you mentioned regarding UA domestic fares: UA tends to be higher or appear that they won't even try to compete on some markets. There are sales that restore my hope of sticking with UA. Of course, where I live now, I just about have to have another carrier to do short hops I'm called to do at times. But if So Cal is where you are starting your trips, I think you might do just as well with CO Elite card in your wallet next to your UA Prem Ex card. HP or AS can't be as bad as getting on the UA Shuttle or the UA Express equipment.