For music, it is nearly always an upgrade because of the audio quality. For talk, it depends. The AM station they were on was a “clear channel” station, meaning it can be received from hundreds of miles away. A move to an FM station could reduce the signal’s range, depending on the power and elevation of the transmitter.
Signal strength probably won’t matter much as Rush is available on so many other stations in that area.
But watch the ratings of the AM!
Distant AM reception on "clear channel" (not to be confused with the company Clear Channel) is mostly at night. During the day a good 50,000 watt station can indeed do very well, but can only go so far.
Solid FM stations--like the new 96,000 watt (not kidding) outlet Rush has in Fargo--can reach very far. Especially if they have a high tower.
AM signals sometimes have to change direction at night due to other stations on the same freq. This is why Boston's WRKO and WEEI (AM) push north and south after dark. In case of the latter, WEEI is now simulcasting on a fairly powerful FM outlet that has no such directional restrictions.
Signal range of 106.9 which may pick up Rush:
AM signals are also subject to interference from high tension wires; weak reception on workplaces etc