Long answer to Kevin's short answer: The perfdata files have hostID and generation values in the name, and these values are directly tied to multiple tables in the db itself.
One could:
(1) Disable all hostLogin bits on DFM-A and retain this server for historical data
(2) Enable (if not already completed) Performance Advisor on DFM-B and begin data accumulation.
(3) Retain DFM-A online for historical purposes until DFM-B has built up the requisite history in Performance Advisor data defined by the customer's business rules, then decommission DFM-A.
Otherwise, a DFM-A backup and restore to DFM-B is the only method to retain the DFM-A Performance Advisor data, however this will not retain any data on DFM-B (in effect a move of the instance from DFM-A to DFM-B).