Are you updating the georeferencing on the first image before attempting to georeference the second? This might throw ArcMap off a bit.
EDIT: I see now that you have an image with external georeferencing information stored in an .xml file, so this shouldn't be the issue.
I tried to duplicate your problem on my machine, but did not have any issues (at first). I was able to georeference one of the images below, update the georeferencing, and then georeference the other. HOWEVER, I deleted the external georeferencing information files and then tried once again, this time without updating the georeferencing of the first image and voi la, the georeferencing disappeared when I toggled to the other image in the toolbar.
I'm not sure why this is happening to you since you say that the georeferencing information for image 1 is already stored in an external .xml file. You might try to "rectify" your image before trying to process the second one to see if that helps.
I'm sure you've already seen the ESRI Desktop Help article on georeferencing, but if you haven't I'd suggest reading it.