This sounds suspiciously like breeding behavior. If Lily and Sky breed, then you absolutely must have them in a separate cage from Brad. A breeding pair MUST be in its own cage.
Please go to the breeding section of the forum and read the breeding instructions post, if you haven't already. You really, really need to have this information or your birds could die from your not being prepared.
Lishious: FYI, except when actual breeding is going on, 2 males and 1 female is much safer than 2 females and 1 male; the females will often fight to the death over a male.