Slash's current band Slash featuring Myles Kennedy and the Conspirators plays some songs from Guns N' Roses. Doesn't GN'R have the copyrights of the song?
A band rarely owns their own copyright.
It is most likely held by a dedicated publishing company, even if that publishing company was set up as sole rights owner by the band members themselves - famous one, Deep Purple - Purple Management & Purple Records.
Without going into any particular legal ramifications [which are well outside the scope of this site], very simply…
Once a song has been published, it may be covered by anyone, so long as the regular terms of performance & broadcast are followed.
This includes bands in pubs & the former members of the original band that wrote the song.
From Comments - it is quite possible that an album may have the band name shown as composer/author, but 'behind the scenes' at Performing Rights organisations who are responsible for protecting the song as an entity, the full real names of the actual composers/authors will be listed
The examples used, of U2 & Duran Duran - though the records may credit 'the band' as composer/author in each case, the actual writing credits are listed as all the members of each band. This information can be easily found on any sheet music, cover version or karaoke track & is not confidential.
... or occasionally a registered alias can be used.
Best examples I can find for aliases…
Searching the PRS database [not public] for 'Vestan Pance' correctly finds songs written by Clint Mansell [Pop Will Eat Itself].
Searching for 'Dr Winston O'Boogie' finds John Lennon.
[the information linking those particular aliases is already in the public domain, so no confidential information is being leaked by this 'revelation']
As far as I'm aware [I have nothing except a lack of proof of a negative to back me up & I'm not a lawyer] a company or band etc cannot be the legal composer of a song.