Shouldn't they be more in favor of the pro-Taiwanese party rather than the KMT?
Just as a note, the KMT wants to unify China under their (non-communist) government, while the DPP wants to establish Taiwan as defacto and dejure independent from mainland China. As such, neither party is "pro-China"; they both simply have different visions of what the Republic of China should look like in the future.
The people who came to Taiwan with the KMT never numbered more than about 10% of the population, so if they were the only KMT voters, the party would have lost consistently in pretty much every democratic election, which was not the case.
The thing is, during martial law, all education was pro-Republic of China, which means that people were taught that they were all Chinese and should behave accordingly. Taiwanese schools taught Chinese history and literature exclusively (in recent years, some local things have creeped in, but it's still mostly about China). Under this education system, quite a lot of Taiwanese people were brought up as Chinese nationalists, and they are now the main base of the KMT electorate.
The reason why things have changed is party due to the democratization and opening of the country, and party due to the accessibility of information in today's world. Younger generations who grew up in post-martial law Taiwan are overwhelmingly pan-Green (the DPP and other pro-independence parties).
Of course, the whole dilemma of whether to declare independence or change the name of the country is also influenced greatly by China, which is doing everything it can to prevent this from happening.
I saw that there was some discussion whether you were referring to the indigenous peoples and not the predominantly Hokkien local population, in which case I'll add the following.
Part of the reason why the indigenous people tended not to vote for the DPP is due to the fact that the DPP did not see them as an integral part of their electorate, because at its inception it catered to the Hokkien (Min-nan) speaking majority. The Hakka were also left out, and Hakka-heavy regions like Hsinchu county and Miaoli tended to vote for the KMT even in this year's elections. The indigenous people number about 2% of the population, and the Hakka another 10%, which is quite low compared to the 80% for Hokkien people.
In younger generations, the line between mainlander, Hokkien, and Hakka has blurred, partly due to intermarriage and partly due to the rise of a Taiwanese national identity as different from linguistic/cultural groups (the Hakka language is endangered in Taiwan, as are all indigenous languages).
The pan-Green coalition has also broadened their outreach in recent years to include all ethnic and cultural groups within Taiwan, and indigenous nations have begun to participate in these parties on a larger scale. For example, the number one candidate on the Legislative yuan ballot for the pro-independence New Power Party was indigenous, Kawlo Iyun Pacidal.
By Taiwanese natives do you mean the pre-KMT culturally Chinese population of Taiwan or do you mean the Taiwanese aborigines, the austonesian people?
Ask Native Americans why they sided with the British against the American revolutionaries who wanted to steal all their land during the American Revolutionary War.