Confusion when adding new GFCI outlet
You are correct. There is a pathological path from Neutral 2 back to the neutral bar in your service panel. Neutral 2 should not be connected to anything but the cold sides of the loads on Hot 2. You should track down and eliminate this path, even if you do not want to provide GFCI protection to the downstream loads. It is a persistent hazard to anyone working on the wiring, and may carry an unbalanced current that can lead to inductive heating. 

The most likely culprit is a bootleg ground somewhere further along the daisy-chain. Other possibilities are an accidental contact between a bare ground wire and a neutral terminal screw, an unnecessarily borrowed neutral, or failed insulation in one of the loads. 

You could start by unplugging everything from the downstream outlets. Keep checking the voltage between Hot 2 and Neutral 2. Remove the outlet cover plates and pull the outlet devices out of their boxes, without disconnecting any wires. You will probably eventually either disturb the accidental contact, or encounter a white wire that doesn't make sense. 

As always, be careful around live wires. Wear gloves and try to handle devices with one hand only.