PEPCO supports electricity choice and actually wants their customers to shop for competitive generation electricity rates. This is because their profits are derived from the delivery (distribution) charges that remain regulated by the state. PEPCO does not profit off of the default generation rates that they provide to customers who have not chosen an alternative supplier.
If you are currently a PEPCO customer, you will continue to be a PEPCO customer even after you select a competitive electric supplier. They will even continue to send you your monthly electric bill.