The sprite "load from URL" loads the same image into all objects create from a sprite object. It should load the image only into the target object.
For example, creating 10 sprite objects and loading a different image into each will result in all 10 objects displaying the last loaded image (rather than 10 different ones). See:
<img src="http://visual.tmarque.com/bug/1.png" border="0">
<img src="http://visual.tmarque.com/bug/2.png" border="0">
(the actual image displayed changes depending on which is loaded last).
Here is the capx: