Right. MS SQL Server can handle only one active connection without sacrificing some chickens. This is a limitation of the communication protocol between the ODBC driver and the MS SQL Server, not a DBI or DBD::ODBC limitation, and it is documented in DBD::ODBC::FAQ. Other RDBMS like Oracle and PostgreSQL can handle multiple active connnections via DBI without any problems, at least with their native DBDs, but they should also support them with DBD::ODBC and a recent ODBC driver.
Today I will gladly share my knowledge and experience, for there are no sweeter words than "I told you so". ;-)