You can assign different FFPs to each leg at check in. I do this regularly putting longhaul flights on one FFP and short connecting flights on another. However it is not without risk as sometimes the entry of FFP gets saved against all the legs instead of just the one you want. It is more likely to work correctly, in my experience, where all flights on the PNR for one particular airline go to one FFP and flights for other airline go to another FFP. When you want to credit some flights of the same airline to different FFPs is the most common situation where it doesn't work as intended.