No, Capcom will be sticking by Sony's beleaguered proprietary format, telling British trade site MCV:
We certainly do not intend to stop supporting UMD. Certainly for us PSP is very important – more so with Monster Hunter coming – than maybe any other publisher
That should answer any questions you have as to why they're sticking with it. There are millions of people who own Monster Hunter on UMD. Meaning there are millions of people who own PSPs that play Monster Hunter UMDs. If there's only one game left being produced on UMD in the dark, distant future, it will be Monster Hunter.