They think they're playing chess.
Every move they're making now is about positioning themselves for the future, specifically, for when Chaz dies. They're moving their pieces (themselves) into strategic positions now, so that when the time comes, they are here, they are in place.
Look at Archie and Lili. If they remain in California, they're much easier to portray as two American children who happen to hold British titles. But Harry and Meghan being back the UK, being seen at British events, turn up at the occasional charity engagement or memorial service, and maintain some visible connection to Britain, that changes the optics. Suddenly, they're not simply American children with titles. They're Prince Archie and Princess Lilibet who have a visible, established connection to the UK and to the Royal Family, and that could matter enormously in the future.
When William becomes King and decides that the Sussexes' titles or their children's titles should no longer have a place in the British system, it becomes much harder politically and publicly to argue that they're completely irrelevant California-based outsiders. They've made sure there is a paper trail of sorts.
It's about keeping a foot in the door. Whether they can manage to behave themselves while they are here is a different story. They are both blowhards, and I'm not sure they have the patience to play out the long game. Time will tell.