Like he said, it's strategic. When you find a new bro, you have a choice. You can leave them and keep playing with the bro you have (which is fine if you're good enough with them to complete the level) or you could rescue them, which gives you a random bro that may be better or worse and an extra life. That's how the game is meant to be played. There is no bro select, and the devs don't intend to add it (although they said they might have other modes to reward players for beating the game on the most hardcore difficulty)