The way I see it is, they don't want their own contract. Since many who hire mercs don't need an entire army (say probably 1-3 units on average), they want to stay available to all parties. If they started their own enterprise, not only would they have to work on a larger scale, but rather than fitting in with every mercenary contract they'd be competing with them, ultimately getting less work. You have your rare Damianos who make it possible to entertain the idea, but ultimately it's less expense, less work and less responsibility to simply hire on with every interested party than to go it alone.
Warmachine/Hordes Battle Reports
Those smote by Mulg the Ancient: Stryker2, Constance Blaize, Nemo2, Amon, Karchev, Skarre1, Venethrax, Magnus1, Madrak1, Jarl, Kruger1, Kruger2, Grayle, Morghoul1, Mordikar, Rhyas, Thagrosh1, Lylth1, Arkadius, Barnabas, Rask