This has to do with how data bindings are set up in the dotnet framework, especially the BindingContext. On a high level it means that if you haven’t specified otherwise each form and all the controls of the form share the same BindingContext. When you are setting the DataSource property the ComboBox will use the BindingContext to get a ConcurrenyMangager that wraps the list. The ConcurrenyManager keeps track of such things as the current selected position in the list.
When you set the DataSource of the second ComboBox it will use the same BindingContext (the forms) which will yield a reference to the same ConcurrencyManager as above used to set up the data bindings.
To get a more detailed explanation see BindingContext.