If both sessions are using the same username and application, Terminal Services will always grab the session if one exists. This is a limitation of the licensing in Terminal Services, you must license each user or device, you shouldn't use common/shared credentials for different users.
By default SGD will try the credentials that you use to login with to login to the windows server.
You need to ensure that a domain is set for the application or host object in SGD, otherwise you will get re-prompted for credentials. If you server isn't part of a domain you can use the hostname of the application server.