Should I complete a master's thesis if I intend to move to a different graduate school?
Since the doctorate is about research, having some solid evidence of doing that successfully is a plus. You can change your main focus to another subfield after writing a master's thesis, so don't worry that it will limit you. 

But my main question back to you is what you will be doing in the meanwhile if you don't do the thesis. Will it be at least as positive an influence on admissions committees and potential advisors? It seems doubtful, but possible, depending on your situation. 

An MS isn't really required for admission to the PhD in the US, but a positive record that predicts success certainly is. Do whatever you can to build that record.