I agree that would increese the danger of loosing coins by loosing the keys stored on the 2nd device. One would need to run two programs and some ppl would end up storing both on the same device (if it would be possible to do) negating the security.
I bet most people will use 2-of-3 signatures: One in your PC, one in your phone and a paper backup, kept in a safe or something. If one of the devices get lost or broken, you use the other and the backup to move the funds to a new multisig address. Or you can use 2-of-4 and have two paper backups, one of them to be stored in a new device if one is lost (or using both backups if both devices are broken/lost, which is about the same of having only 2 signatures and a backup of both...).