I have to admit that I didn't think of such a use case yet. There is only a single focused control, so all players would be controlling the same cursor - if the XnaInputCapturer even polled more than one game pad, which it isn't designed to do currently.
Adding such a feature for the PC would present some difficulties as well because the GUI would need some means of mapping input to a player (so it knows which player's control focus to change). There might even be one input device belonging to two players
(if player 1 and 2 shared the keyboard, for example.)
You *could* create a single CharacterSelectorControl that displays the entire stripe of characters and both player's cursors, then use a custom IInputCapturer that sends certain inputs directly to the CharacterSelectorControl.
I'll think about whether there's a way to support this in the current design. Maybe some optional IPlayerMapper or something could be assigned to the GUI to allow it to assign input devices to players without getting in the way of single player developers.