Sorry do you mean, that's how it works now, or, that's how you think it should work? Are you talking about Instagram or WA or something else?
edit: misread your message; if you have two sessions active at the same time, then yes I would expect both sessions to receive the same messages.
What if you log into the app and then log out of the app and then log into the app again? Should you be able to see your messages?
E2EE is a fail-secure design. In case of any doubt it deletes your private messages. When applied to this case I don't think the downside of constantly losing all your messages outweighs the upside of Facebook pretending they don't have a copy of all of them.