Exactly.
One thing of note, California has, for example, stricter labor laws than most states. It makes sense for Aetna to carve their California business out separately. They sure don't want their Indiana office to be subject to the sort of employee protection laws that are present in California. It's a minor contributing factor to why the umbrella company carves themselves into smaller bits, but its contribution is non-zero.
Also, in those negotiations you mentioned, Aetna lumping together the members they have in Michigan, Illinois or New York doesn't help them in California. No provider (physician, lab, hospital, etc.) cares how many non-California members a company has and so there's no incentive for Aetna to have everyone lumped together.
Also, in those negotiations you mentioned, Aetna lumping together the members they have in Michigan, Illinois or New York doesn't help them in California. No provider (physician, lab, hospital, etc.) cares how many non-California members a company has and so there's no incentive for Aetna to have everyone lumped together.