If you care, it's also the exact same backend processing system that JetBlue uses.
Every airline I've run into this problem with (US, WN and AA on top of your description here) does it exactly as you described here. I guess the reasoning is so both tickets have the same fare rules applied, which really doesn't make all that much sense for DH or WN, who don't have any special rules between different fare classes. (DH are never refundable and always a $25 change fee, WN are only refundable if you buy the absolute highest class.) I guess there could be some confusion if you buy multiple tickets on a "big 6" airline and the difference in fare classes meant you could do something with one ticket that you couldn't do with the other. Imagine trying to explain that to the ticketholder over the phone or at the airport why they can do something for two of their tickets but not the other two.
Plus, it just makes the software that prices tickets and displays those prices a lot more complicated. When I see this I split my purchases and make two really quickly, using two different web browsers to get both transactions as close to the end as possible so I can get the tickets I want.