It isn't that they can't be together - it is that they must be seperated to interact with YOU for portions of the day. If you keep them together constantly, they will bond to each other and being part of your pack will be secondary. Kind of the opposite of what most people want.
Also, don't assume that since they play nicely together that they are socialized and will play nicely with other dogs. They are still going to need to be socialized after they get all of their shots.
As for walking nicely on a leash - don't expect that to happen for weeks!! These are just babies and whether they are walking alone or together - there is waaayyyyyyy too much to explore to think about walking nicely yet.