They are working non-exclusive contracts or per-appearance deals for these companies:WAIT. Are you saying the brothers leaving MLW is an angle, or are you saying them working for AEW is an angle?
While they are still under contract to Lucha Underground, who technically has exclusive control over them but allows them to appear for the above promotions, they cannot sign an exclusive deal anywhere. So they're trying to appear for as many big promotions as they can in the interim.
If Lucha Underground returns for season 5, then it will be the status quo for another year. After season 5 the Lucha Brothers can opt out and sign anywhere.
If Lucha Underground is cancelled in the near future, however, all contracts are voided and the Lucha Brothers could sign anywhere they wanted immediately.
It is widely expected that they will sign with one of the major players when they can (AEW, WWE, or the combination of CMLL/ROH/NJPW) because right now they'd be totally screwed if they got seriously hurt. Fenix's recent scare is a perfect example.
I believe they will sign exclusively with AEW, as they agreed to stop taking indie bookings when they signed their non-exclusive AEW deals. They will still honor any indie bookings they have already taken but after that, they will only appear for LU/AEW/MLW/Impact/AAA/CMLL.