Just a stab in the dark, but maybe it's because you can only use one at a time. OK you **could** try copying files from 2 different folders to 2 different writers at the same time, but think where the burning technology is licensed from.
It's merely a cut down version of Roxio's DirectCD, which itself is part of EasyCD. If you're using a burning program (EasyCD, Nero), it will only allow you to write to 1 writable drive at a time.
Might be wrong, but I think it's a limitation of the burning software itself, not XP as such.