well it's definitely not an easy choice...but if you're ultimate goal is to get to Denver, you might be happier getting to denver in the best fashion possible...There's never any guarantee that you'll get United, but the odds of you getting it are better in the short term than the long term. I'd say stick it out at mesaba, upgrade, get that PIC, then start throwing out applications. Heck, throw em out early. It'd be better to be at united, or even frontier at based out of denver, than to be at skywest and based out of denver...despite how good of an airline skywest is.
It kinda seems like "gratification now" or "gratification later" with sticking it out at mesaba = later....i think you're ultimate enjoyment will be in the latter phase also.