One would think that the airlines would actually welcome this strategy. It's a pretty fair bet that for most itineraries, save maybe RJ's or very short mainline, you're not going to give up an elite upgrade to get the miles in the other program. Assume that, and they have the following choice:

1. Give you your elite perks, and then let you contribute to the liabilities of their airline

2. Give you your elite perks, and then let you contribute to the liabilities of another airline.

Why wouldn't most airlines pick #2?