As you do not mention which product how do you expect us to help you? Check the documentation - such limitations must be documented. Also check with the supplier.
i am using CA product for Db2 : here is the complete warnig message :
You have entered a second session of CA Products
for DB2 in a single TSO session. While this
may not cause any errors, if each session is
accessing different DB2 sub-systems,
unpredictable results may occur.