If you delete the first sheet of a story (the one generated by default when creating the story) all the embedded sheets will have the same selections since new selections made when adding a new sheet won't be respected.
If the first sheet is not deleted then it is not a problem to embed sheets with different selections on it.
This is a consequence of how the Storytelling feature is designed.
Environment:
Qlik Sense Enterprise on Windows
Resolution:
The way to make it possible to have embedded sheets with different selections in a story is to make sure not to have an embedded sheet as the first sheet in the story.