The Index of a Player Controller means the index of a list of players that use the same connection (splitscreen clients).
If you open different windows to run the program, you are simulating different connections for each window, thus a new list for every window, and so the index 0 will be a different player controller for each window.
So when you do GetPlayerController(0), you will always get the local controller for that window, and you will be unable to directly get the Player Controller of the other players, because that is how Unreal works; everything must be first passed onto the server. You can’t communicate from client to client.
Check the “NetPlayerIndex” variable in the PlayerController Reference page here.
Standalone mode will only launch one screen only. That is just how that works, since it uses a different flow than the PIE mode. You can check that out here.
So as to give a short answer to your question. They are different players, just that they will be on different lists and so they will always be at the 0 index, unless you implement local players (splitscreen).
Let me know if you need more info about this 
EDIT: Grammar 