If I'm understanding your question correctly, the answer is that it's sometimes problematic to use multiple self-hosted agents for pipelines that use singleton tools on the same machine:
You might also run into problems if parallel build jobs are using the same singleton tool deployment, such as npm packages. For example, one build might update a dependency while another build is in the middle of using it, which could cause unreliable results and errors.
I imagine this could extend to issues such as trying to have separate az sessions on the same system account. Although - and I haven't tried this myself - but I wonder if you could try using az login
with a service principal client certificate, as seen here:
az login --service-principal -u http://azure-cli-2016-08-05-14-31-15 -p ~/mycertfile.pem --tenant contoso.onmicrosoft.com
Edit: Found this PR from this issue, so it looks like you can run the sessions concurrently. Although I'm still not sure what would happen if, as previously mentioned, you were to (for example) modify the Az CLI tool itself.