Oh, who knows why? Ah, yes, because he decided to join a group of wanted rebels who support a man that murdered with no mercy a random beggar who casually stumbled on a crown and a throne. Sure, no big deal.
Thorald wasn't in the stormcloaks. Avulstein was. Thorald was arrested by the empire in an effort to draw Avulstein out of hiding. The thalmor told the empire to hand him over as they think he's a Talos worshipper. The empire obliged. When you free him, he notes that he wasn't a stormcloak, but that they're the only ones that can offer him safe harbor now.
The skyrim legion is not the empire legion. It's local recruits. Before they started recruiting the local nords, the legion in skyrim was losing terribly.(Hence why tullius was called in)
And I doubt the empire will be around much longer anyways. Beth's headin towards it crumbling soon.
Spoiler If you recall during the DB, what are the main goals of Armaund's contracts?
1. Assassinate the emperor's cousins in an attempt to stir up more enmity between the empire and the stormcloaks.
2. Assassinate the emperor.
Remarkably similar to the Thalmor's goals in skyrim. They either get a toady on the throne, or cause enough chaos that the empire won't be able to handle it anyways.
Lore often has magic winning out over brute strength though.
Ah yes, that's why Ysgramor and the 500 companions were eventually defeated by the Falmer. That's also why Vehk triumphed over Cyrus at their second meeting. Or why skyrim lost the fight against both hammerfell and High Rock at the same time and never took the reach from them. Because magic > brute strength.