They were all multiple personalities of a shape shifting alien but the alien didnt realise that they were just him. He thought that they were all his friends, When in reality all of his personalities lived their own lives which obviously means they (or it) was a sub human race from space and he just had split personalities making him all kinds of stars at different times. It would also explain all of their success in the music industry, because no human could make up the beats like an alien. Michael Jackson was its last shape shift and when "Michael Jackson" died so did the alien, stuck in its MJ shape.

This has been an ongoing conspiracy for the last 5 minutes.