I was always under the belief Al and his brother worked hard to separate themselves from any connection with the mafia. I think they are the cleanest of them all and I think that is what upsets Caroline.
I would leave the show if I was the one who was NOT mafia and NOT connected in any way to the mafia and I was being linked on national TV to the mafia, while the mafia members where getting sympathy and treated as innocent victims. And because of my contracts I couldn't say anything.
Andy's connecting Caroline and Al to the mafia, to me was a favor he did for Teresa.