When you take on a protectoarte is gives you 4 things with the protectee. An alliance, military access (both ways), and the special status of protector (IE they give you massive tribute every turn). The first three things can be granted at any time. To any one in any combination. There is nothing in that would preclude one nation having 2 different protectors in so far as the games logic is concerned. All it means is that Dacia and Parthia aren't getting a very large cut of the Scythian coffers, as they have to split it.