Concurrent commitment to 2 Masters degrees, One of them is online I am more likely to get admitted to 2 programs in 2 different universities. Both are great but in 2 different interests for me. The first is a non-thesis based program and mostly online while the second is a thesis-based research master degree. 

My question: Assuming I can do well with both, are there any legal issues or concerns?

Given that I don't have to take the classes in person in one program, should I tell any of them?

what is your feedback if this scenario is in Canada and/or the USA?
Depending on the intricate details of how you are provided funding, you might be prohibited from taking the second Masters program. They usually have a good reason for that: suppose you are funded to work full-time in your research thesis-based Masters program. If you will be working on a second degree at the same time, it will inevitably drain your energy, so you'll likely be less productive to do what you are paid for.

Consult with the coordinators of your research Masters program to learn their stance on taking external education / work.

For a personal example, my university asks me to inform if I am receiving a funding from other sources and generally cuts the base funding depending on how much work time I spend on working for those other sources.

As a final note, you could take two Masters program covertly, without informing the two universities. They are unlikely to discover this, but it doesn't mean it's a good practice.