They are connected to the $10,000,000 demand.
I don't think they are the shooter(s) because they seem to be too stupid to have evaded the police for so long. Sleeping in a car that 1/2 the world is looking for. Duh!
More than that, Fox news reported that the two women store clerks shot in the Alabama robber (one dead, one wounded) never got a look at the robber(s) because they were shot sniper-style while walking across the parking lot to their car after locking up for the night.
Malvo's fingerprint has been tied positively to that robbery and apparently to one of the messages left in the DC-area snipings, and the credit card stolen from one of the clerks in the Alabama robbery was the account the "give us $10 million" folks were wanting the money to be deposited to.