At the risk of being provocative, most people who fly around with two or more altimeters have long given up setting QFE on any of them.
I'd suggest that below the transition altitude you set a suitable QNH on both. Above that, the choice would seem to be between 1013/QNH or 1013/1013.
There are arguments both ways, but a potentially fatal altimeter error is likely to be detected faster if both altimeters are set to the same thing. Having QNH on the second gives you rapid access to your altitude, which might be useful in an emergency.