I asked pilots at Mesa this; you upgrade and then what? The big three really do not have any ties to Mesa in terms of hiring. ( United likes Expressjet, AA has flows etc.) Sure other carriers such as TSA are in the same position as Mesa as they aren't wholly owned, but one's pay/contract/overall QOL will be 100%x better while waiting for that next phone call.

Leaving as a captain would be silly, but as a FO you'll gain seniority fast anywhere if you move on within the next few months.