Right after targeting the UFO for the first interceptor, the Intercept window disappears. Umm... maybe my sources aren't that up to date at all. Lemme check that.
Edit: Well, it says my sources are already up to date when I'm trying to pull from SupSuper/OpenXcom... hmmmm....
Edit2: Till I figure out what's wrong... test it with sending interceptors within a short interval of time of each other ;-).
Edit3: I found a simple way of dealing with this issue. Committed and pushed to my repo.
Edit4: I read your post carefully again. You're not sending them at the exact same time. Unless you're that fast and the time is not able to advance between you targeting the UFO for the first interceptor and clicking Intercept again ;-).
Edit5: I closed my PR. Please comment within my repo only now.