Most writers *shocking* are writing under a pen name, moi included. With that comes a cushion of anonymity some feel necessary when writing 'dirty' books such as romance and erotic romance and for others simply the anonymity desired because writers are a weird quirky bunch. For my non-romance it is also under a pen name, I like my privacy, as you might notice I'm not a selfie kind of person and will happily say I've only ever taken one selfie in my life and that was to whine about a haircut I thought was too short-weird yeah whatever. Any hoo, I've seen posts and talk about using pen names for other categories since I'm at loose ends without another topic I'm putting in my two cents.
Personally, I only think you should use different pen names on your work for two reasons:
1. You don't want people to know you write the two different kinds of categories. Completely understandable if you are going from fantasy with fade to black versus romance where you gratuitously drop the f-bomb for description as well as dialogue. Better not to confuse or turn off a potential reader and completely understandable.
2. If you are in fact going from two vastly different categories like thriller to chick lit. For better or worse people have preconceived notions and it's best not to lose out because of them.
Otherwise I really can't see the benefit. If you usually write romance new adult and you are writing romance thriller why the heck leave readers behind? Just like most writers read and therefore write other categories your readers are just as likely to read other categories/genres. Most readers enjoy dipping into something different if they see a familiar name then they are pretty damn likely to pick yours over someone they've never read before.
Another thing to consider is the time it will take to give the other pen name life for promotion. Do you really have the time to devote to building profiles on Facebook, Twitter for four or five different pen names and make them seem interesting and if you don't and half ass it by throwing out, yeah I also write under this pen name then why the fuck do it in the first place? Honestly? If you have enough time to spend building up multiple pen names then that is time you are spending when you could have been writing.
Maybe I am over simplifying it but I just don't see an upside to it.