I've attended all the writing workshops and endured the lectures about developing an author brand and sticking with it. Yes, I see the value in doing this. When readers hear your name, it's a wonderful idea that they have a particular thought or idea in mind of who you are. J.K. Rowling brings to mind Harry Potter books. Nora Roberts makes one think of contemporary romance. Stephen King screams horror. Stephanie Meyer provokes images of vampires.
Writing for various subgenres in a book platform can continue bringing in royalty sales--especially e-books which have no limit on shelf life space. Different publishers have different reading audiences and marketing and sales platforms and distributions. An author will find a group of readers writing for one publisher that may be different writing for another publisher, but that author may gather loyal readers that will follow that author through the author's website, blog, and social media platforms regardless of where the author goes for publication. This is author platform--a bit of stability--in a publishing industry where things are so volatile.
If you still want to write under two different pen names, consider the fact that you will have to pay the costs of additional marketing online features and promotional items such as bookmarks, post cards, business cards, magnets, book plates, ads, graphic design, branding, website, etc.
If you would like more information on writing for multiple subgenres, here is a great article entitled, Genre-Hopping Your Way Out of the Midlist.
Please share your thoughts.