Hmmm, assuming you are recording to a MIDI track and you have MIDI MERGE enabled(which would make sense)? Some might be due to sustain info(which has been known to have an issue in the past). My first thought would be to record each hand/part to its own MIDI track. There should be no problem assigning both to the same midi destination, be it a plugin, or back to the Kronos.
As an experiment relating the sustain issue, try recording both parts as you do now, but either don't use the sustain pedal at all, or don't use it on the second pass and see what happens
