Actually, come to think of it, there’s a documented limitation.
See page 12 of the Version History. You could work around it by using four horn players instead of two. If you group them separately in Setup mode then you can have two Horn 1s and two Horn 2s. Then you can construct two part layouts, one of which contains both Horn 1s and one of which contains both Horn 2s (or is that Horns 1 and Horns 2?).