Is it disrespectful to do research in two labs?
We had an undergraduate in our group quit abruptly at the end of the quarter, saying he liked the research better in the other lab he was working for. This is fine, everyone knows some people won't work out for whatever reason.

However, this was the first time my PI had heard he was "two-timing" us, and yes, she was pretty upset. 

I do not think it's per se disrespectful to work in two labs at once, but it is certainly rude to hide that fact from one or both groups. That said, if you tell two PIs that you're working in two labs to figure out what you like better, they may be less inclined to help/mentor you because they know there's a big chance you'll drop their lab pretty quickly because you can fall back on the other lab you like more. 

I don't recommend this course of action, but as long as you're transparent with both labs, I would not say it is wrong of you to attempt it.