We theoretically study chaos synchronization of two lasers which are delay coupled via an active or a passive relay. While the lasers are synchronized, their dynamics is identical to a single laser with delayed feedback for a passive relay and identical to two delay-coupled lasers for an active relay. Depending on the coupling parameters the system exhibits bubbling, i.e., noise-induced desynchronization, or on-off intermittency. We associate the desynchronization dynamics in the coherence collapse and low-frequency fluctuation regimes with the transverse instability of some of the compound cavity's antimodes. Finally, we demonstrate how, by using an active relay, bubbling can be suppressed.