It sounds like the reason is that the label was getting between the band and their fans.

There's probably a financial component too, but that's not being emphasized. OK Go seems to think that the most critical thing for their continued survival is the tight relationship between them and their fanbase. Anything that jeopardizes that needs to go away. There's some good lessons there for us web startups.

Good luck to them. Nine Inch Nails and Radiohead seem to be doing quite well on their own, and hopefully a smaller player like OK Go can make it work as well.