True, if you own Wessex and Const'ple you do get trade from both, but it's trade with other, foreign, provinces. Wx and Const will not trade with each other if you own both.
To see what trade you are getting, bring up the 'economics' parchment then left-click on a province: another parchment then opens showing all that province's trade - local, import and export. In the above case, Wessex will not show Const. as a trading partner, and vice versa.