You also can create up to 4 player characters on PC by shutting down Steam and loading the executable directly multiple times on the same computer, use direct connect with up to 4 instances running at the same time and you can create 4 characters, then the joining player can be any of those 4. You can do this yourself to "consume" the 2 current characters and then have someone join to create a third, etc.
But yeah, this seems to initiate a bug they thought they fixed where one doesn't follow. This isn't 100% repeatable by putting characters in the wardrobe, it's only happening on the first one I put in, others I swap in and out still follow
However really there should be an option with Withers to create a new PC
