You can do this (most companies do). Just do it with a PIP, not surprise them one day by walking them out the door with no prior feedback.
Slashdot videos: Now with more Slashdot!
I don't mean to burst your bubble, but Harvey Danger got big while they were signed with Sire records, which is part of Warner-Electra-Atlantic last I checked. It's easy for you to say they're "indie" now, but they can swing that because they had a top 25 hit in 2000 when they released "King James Version" on a major label owned by WEA. And let's be honest here, they're just not that great and weren't even when they were on Sire.
Granted, some indie bands can still make a go of it completely on their own, but Harvey Danger is the norm, rather than the exception. Most bands get signed to major labels, THEN go off and create their own label once they have gotten the exposure. The record companies still control the ability of bands to get airtime. That's just how it continues to be today.