You shouldn’ worry much when one twin cries while the other is sleeping. The  sleeping baby is probably not bothered.  Twins  accommodate each others behavior pattern nicely because they have been doing this since conception.

While in utero, they  accommodated  each others movements and activity levels as well as quiet and active time. You also have to know that infants have the ability to tune out repetitive noises around them.

The only time you may have to separate them is if one twin is sick or needs special care.