I don't know that too much should be made of this. Many corporate organizations move from centralized to decentralized structures, or vice versa, (and even back again several years later when needed). There could be a variety of drivers for that - a need for common IT systems, common accounting systems, common other systems (although I don't know that PSE would have a need for a full-blown ERP system).
This move could also be for cost reasons, or for tax reasons, or because of Jesse Pegula's career progress, or to setup fractional transfer to one or more Pegula children, or for other reasons posters mentioned.
If the Pegulas felt the individual entities had outgrown the need for the PSE umbrella, then why keep the umbrella?
Alternatively, the PSE umbrella may have been an over-arching restriction or hindrance the entities did not need / preferred not to have.