I think you'll continue to get different opinions about it. Depends on how you and they handle it -- I can envision scenarios where it's a non-issue or even to your benefit, and I can envision scenarios in which it ain't pretty.
I don't think it's universally frowned upon, nor that there's some unwritten rule that you should avoid doing so. However, some applicants sell themselves as all-in for X, so if they find out otherwise it won't look good. On the program side, some fellowship directors are pretty sure that anyone who would consider doing anything other than their specialty is an idiot, or they (like applicants) want to lock someone in and that becomes more difficult if they're not only competing with other programs in their field, but other subspecialties altogether. On the other hand, some places put their department ahead of their subspecialty, in the sense that while there may be some "friendly" competition for fellows it's OK since they're cool enough to want to be at the same institution anyway. Sometimes that competition works in the applicant's favor. One could go on and on.
Personally, I think the best way to avoid a problem is to keep everyone in the loop, at least those at the same institution. Not every fellowship director will be -happy- about it, but I think that avoids someone getting outright -pissed off- by holding out on them when they find out anyway, and helps to keep the door open in case you want to do the "other" fellowship the following year. I think potential problems are mitigated even further when you're talking about a somewhat generalist fellowship (cyto, surg) on the one hand, and something more niche like neuro, GI, GU, etc. on the other.
