I think it's clear from Edna's discussion with Columbo that she's been separated from Rudy for a while due in part to her infidelity. However, more recently they had become friends (again though not lovers) as they were both older and wiser.
Rudy had grown tired of the collecting, buying and selling art for the price of it and had come to realise that it wasn't the value of the art but seeing the beauty of it that mattered. Rudy and Edna were in the process of trying to decide which places such as schools, museums and galleries were worthy of having a part of the collection.
Dale simply wanted to own the collection to further his own wealth and influence in the art world. He was everything his uncle had come to dislike in the art world.