From reading their message boards, their fans are split, however, about half and half. I think they would warm up to the Sun Belt, especially after its recent improvements on the field, but Alger will have to retire first.
I think they would have joined the MAC, if allowed. I think they were in talks for that, too. However, IIRC the MAC booted UMass (football only) out rather than take JMU in.
I also think they would have joined the Sun Belt a long time ago, if they had been allowed in for football only. But the Sun Belt won't allow that (they also rejected UMass football only).
Personally, I would like to see them in the Sun Belt. If they could get Delaware to join them, I think they would gladly do it, and the Sun Belt would want that, too.