The concern is that really running too much current / many amps through too thin of a cable risks melting the cable, which can in turn cause a short and fry things.
For a cable meeting the minimum specification, for one 8-Pin PCI connector it would be rated to handle about 12A / 150W. L
Your card can draw up to 300W. If your second PCI power connector is a “pigtail” off of the first, then the first run of cable is taking about 25A at full load.
If the cables are thick and overbuilt, that’s bot really an issue. If the cables are thinner and have a lower current rating, they could melt.
Best practice is to split the connections across the power supply’s available ports.