Well, they actually started with MGM when they were working with Ted Healy.
Colombia was a notoriously cheap outfit and the boys really didn't make great livings for the short subjects. They always wanted to do features, but Cohn didn't view them as feature material, which is a big tragedy.
I don't think their personalities would have changed a great deal. They were who they were. Moe was serious minded and kind, but not very funny off camera. However, Moe put in serious work looking at scripts and talking to the directors to make the shorts as good as possible. Larry didn't really care. He viewed it as a job. All Larry cared about was sports, specifically horse races. Larry had quite a gambling problem and never took anything seriously. He moved around in motels his whole life. Curly was completely the opposite of his onscreen persona. He was shy and introverted and sensitive. Curly wouldn't say boo to a goose. Shemp was, by almost everyone's admission, the funny one. Despite all his phobias, Shemp was the most natural comedian. He didn't care much to discuss scripts, but he would ad-lib a lot if he wanted to make a change. Shemp was also lucky and unlucky at the same time. Unlike the others, he got to work in feature films, but often he was so funny that some people such as Lou Costello thought he was upstaging him and had most of his part cut.
One thing that was very unfair about the Colombia relationship was that Colombia heads didn't want to pay them residuals. This was a big deal after the Stooges had a big revival. Short subjects were ended and TV stations bought the rights to air the shorts. Colombia made money, but the Stooges didn't and it was patently unfair. I don't believe if they had stayed with MGM, they would have gotten such a raw deal.