Hello Niko,
I can't repeat the behaviour you're seeing, so there's something pretty subtle going on.
You said that it was working fine for one shortcut. As a test, instead of opening with the other shortcut, could you just open the second set of data using "File | Open" in Ledger, then launch the financial reporter. See if the settings "Stick" in the new dataset.
If so, then there's some difference on the command line. Are your user ID and password specified in UPPERCASE in both shortcuts?