This certainly works. Having two Security Servers each paired with a Connection Server (e.g. one standard and the other a replica) is a very common scenario.
Double check your firewall rules if you have an external firewall between your Security Servers and Connection Servers. Double check the admin guide for the procedure of setting a pairing password etc. and the troubleshooting section for Security Server pairing. Make sure both Security Servers are configured the same (no AD group policies applying different firewall policies, firewalls running on all servers etc.). Make sure both Connection Servers are configured the same.
Let us know what it was.
Mark