The Nios II code downloading occurs over JTAG using the Nios II JTAG debug module. You can have multiple Nios II cores with one debug module each.
The JTAG UART cannot be shared amongst multiple CPU cores (SOPC Builder should be preventing you from hooking it up this way). Instead you can use multiple JTAG UARTs and view them using multiple terminals. The multi-cpu collection allows you to set up this case and cycle through the various terminal outputs. I don't like this method so what I do instead is open multiple Nios II command shells and run nios-terminal in each shell passing in a different instance IDs. For example this is what I would use if I had two JTAG UARTs:
nios2-terminal -i 0
nios2-terminal -i 1
The only tricky thing is that when you have an overlap in instance IDs, the tools will automatically re-assign the instance IDs. As a result it is up to you to figure out which one is which and pass in the ID accordingly.