multiple recordsets and errors in MSSQL stored procedure

In MSSQL 7 I have the stored procedure that returns multiple recordsets.

select FirstValue
select SecondValue

In my application written in Borland C++ Builder 5 on client side I can skip
message returned between two recordsets doing NextRecordset method. But if I
change severity from 10 to 11 in the stored procedure I get an exception
"message" as expected after first NextRecordset and I cannot retrieve the
second recordset because the following NextRecordset returns null though in
Query Analyzer I can see both recordsets and error message between them. Is
it ADO design or my mistake?