That is by design.
The Security Assist wizard will add the behaviors for setting the cookies if the remember me option is selected in the wizard. The first set is there to Set the cookie values if you check the Remember Me button on the login page. The second set is there to set them to blank values if you uncheck the remember me option after having previously checked on the login page.
the First Authenticate User behavior is in place for when the login form is submitted.
The Second one is triggered if you select both the Remember Me Option and the Auto Login option on the login page.