Um... overlap either is or isn't. If the itinerary is sold as a legal connection then there's no overlap.

This does not fall under the perimeters of Southwest's duplicate booking policy.

Sure, anything can happen. But if the idea in calling and adding notes to the PNR is to stop an auto-cancellation, it won't. That's not how it works. If either flight is auto-cancelled you'll still need to call to have it reinstated. Prior notes may or may not be helpful at that time.

And ultimately, the chances of it being auto-cancelled in the first place are very, very low.

[I'd recommend, as suggested by rwy, that it be booked as a multi-city itinerary, which would generate a single PNR and cut those chances to zero.]