Yeah, you're basically a hired henchman when you enter someone else's world.
Which storyline-wise, would make sense -- that the 2nd player is a sidekick and all.
I know there's prefab henchmen, but can you create a new henchman entirely when you want to jump into their world to use? Now, for that henchman, you can only use it in their world, right? Or can you import that henchman to your own world?
Y'know, it'd be odd with two different heroes from different Albion doing the same quests in different worlds. Parallel worlds theory would need to be introduced into the story or something somewhere; hehe.
But, yeah -- I can see why people are disappointed. I made, PM did make it sound (early on) like you could import your hero into their game. He did clarify that later on, though.
I can see why people would want to be able to import their own hero, but at the same time I can understand the design choice.
As a design choice, I can understand why -- b/c an already easy game would probably be EVEN MORE TOO easy for two uber-heros, if they don't adjust the number of enemies and/or difficulty to the game.