I started by doing exactly this for my hand animation. I had an enum variable “HandState”, a BlendByEnum node, a code that managed transitions between HandState values. And that worked. But then I realized that what I’m doing is exactly a state machine. So, I replaced my HandState variable by a state machine and moved some of the code in it’s transitions and some other in its events. It’s doing exactly the same thing, but it resets the Locomotion.
I tried the same thing with two very simple state machines, without any blend or montage, just simple anim sequences, it does exactly the same - resets the first machine. Unless there is some reason that I cannot see right now, I think it’s a bug.