Do you check, double check and triple check everything that is in the envelope when you send off a visa application? I know I do. One missing photo and the whole thing could be rejected.
So, the question is whether you would trust someone in Embassy A to make sure all the stuff is together in the right envelope to send off to Embassy B. Bear in mind that the clerk in Embassy A might be very well intentioned but might be working in a second language; is almost certainly unfamiliar with the requirements of Embassy B; and even if he or she did double and triple check, there is still plenty of room for error or misunderstanding.
Personally, I’d do two separate transactions or use a visa service.