Baul most likely tried tracking down Sparda during those 2000 years in order to challenge him to duel. And Modeus quietly followed behind so his brother doesn't do anything foolish. And to see his former mentor.
Neither brother had any ambition in Underworld and seemed comfortable in Human world so it makes sense they decided to follow Sparda's footsteps after some decades or centuries.
Baul had his ass kicked every time but Sparda stuck along to make sure he's alright. Modeus even helped Sparda in a couple of his adventures and maybe Baul begrudgingly tagged along because can't his old master die too soon, huh?
And they both knew it deep down. That Sparda is slowly dying and fading away. Each time he sealed off another gate, fought another demon, a piece of him was dying with them.
But Baul still lost every time. At some point, maybe he just wanted to stop Sparda. And Modeus could only watch on as his mentor suffered and faded. He respected Sparda's wish and autonomy too much to intervene. Till one day he was gone entirely, leaving Baul bereft and confused (till he found Dante, the image of his master) while Modeus had accepted it.
