Second master's degree during doctoral program
To answer the first question asked: I can't think of a single pro to having two master's degrees in the same discipline. Even if the prestige of your second school is far greater than the first, this would be strange and I would imagine it would lead anyone reading your CV to wonder exactly what it was that you were doing with your time. Note: I think it would be generally considered unethical to leave one of your master's degrees off of an academic CV. Leaving it off of a resume of some other kind might be a bit different.

A con to getting the second master's is that, as you say, you would have to write a master's thesis. Presumably you have already done this (or something similar), so doing another one could be viewed as a waste of your time.

You may likely have to enter a complete list of your degrees on various applications in your life. The only reasonable [citation needed :)] interpretation of having two identical master's degrees from different schools is that you failed to finish a PhD at the second school (because the second institution would not have admitted you into a terminal master's program for a master's degree that you already had). Not finishing a PhD is not a particularly negative thing in and of itself, but you will probably be asked to talk about why you did not finish it. 

On another note, your second university may not allow you to get a second master's in the same field. You do have to fill out paperwork for these things, and the paperwork may very well ask you to list your current degrees. It's possible your application for your second master's would be denied if they realize you already have the same degree.