Are those who use the internet service that remained active despite a request to disconnect it after the contract expired committing a sin, and must what was downloaded of religious materials or games be deleted?

What you and your brother did, sharing internet lines, is considered an ijarah of usufruct (leasing of benefits). This is a binding contract for both parties, and it is not permissible to terminate it except with the mutual consent of both parties. If the company does not agree to terminate the contract, then both of you are bound by it. If the contract ends or is terminated with the company's consent, then using the line thereafter is considered an encroachment for which the company must be compensated. Both of you must repent to Allah for this action, and the company must be compensated for the time used to download materials.