Nah, I think they chose wisely. Milim is an ancient demon lord everybody knows, which grants extra protection by infamy alone. Frey, especially, is one of Milim's few old friends. They get along jolly good. It seemed like Carrion was surprisingly comfortable with Milim as well (possibly more than with Rimuru, who is strange as a demon lord, loving humans and all that). More importantly, perhaps, Milim doesn't really have that many close underlings. I'm not so sure even the bald priest is close to Milim. So, Frey and Carrion can be Milim's direct vassals #1 and #2, instead of being Rimuru's subordinates... #24 and #25. The third factor is that due to Milim not having that much going on governance wise, nor any interest in it, Frey and Carrion ought to remain pretty independent, able to do whatever they want, within reason, yet still be protected by Milim. Under Rimuru, they would need to do things like Rimuru does things.