To answer your question "involved in, how?" more or less demands some level of speculation since we don't have access to the PCA. However, based on the statute it means they believe he was involved in at least one of these other activities in the course of their murders.
Statute 35-42-1-1(2): Murder
kills another human being while committing or attempting to commit arson, burglary, child molesting, consumer product tampering, criminal deviate conduct (under IC 35-42-4-2 before its repeal), kidnapping, rape, robbery, human trafficking, promotion of human trafficking, sexual trafficking of a minor, or carjacking
If I had to guess, I'd say whatever it was LE saw and heard on that video that the public has not seen, is a clear cut case of at least kidnapping by ordering them down the hill by some sort of threat or force. We know they were walking on the bridge immediately prior to encountering him, so where they ended up, deceased, was clearly not their choice but his.
All of that of course is completely speculative.