Problem with 240V Elect Baseboard Heater
Assuming the wiring is correct, it is possible that the first heater may have fault to ground. Since the thermostat only opens one leg, current can still flow from the other leg, through the fault, and to ground. The amount of heating element between the incoming power connection and the fault has enough resistance to keep from tripping the breaker like a direct short would.
You can confirm this by disconnecting the wires at the heater, and measuring with a multimeter set on resistance. I'm not sure what the resistance between the two line terminals should be, but the resistance between line and ground should be infinite. If it is not, than the heater is shorting to ground and should probably be replaced.