If you plan on purchasing two homes at once, it is legal as long as each transaction is divulged to both banks financing the loans. Simultaneous closings, however, are often done as a means to conceal a mortgage from the opposing banks. The reason for this is if a borrower's income only allows for one mortgage, and getting a second mortgage will throw off the loan's DTI, which results in failing to qualify for the loan. If the loans are closed at the same time, the two banks financing the mortgages will be unaware of each other's loans and the DTI will remain unaffected. 

The danger of closing two loans, however, typically rears its head after the closings occur. If the either of the banks discover that you have failed to disclose an impending purchase, they can call the loan due and payable. Alternatively they can turn the file over to the FBI and have you prosecuted for fraud. 

So yes, purchasing two homes at once is legal, as long as you are open with both banks about the opposing transactions.