When I connect to my "OpenSSH_8.2p1 Ubuntu-4ubuntu0.4" server alternating using

sftp -v -o HostKeyAlgorithms=ecdsa-sha2-nistp256 test-user@localhost

and

sftp -v -o HostKeyAlgorithms=rsa-sha2-256 test-user@localhost

I always get when switching from one algorithm to the other the following warning:

"WARNING: REMOTE HOST IDENTIFICATION HAS CHANGED!" 

Is this the correct behavior that it is not possible to use ECDSA and RSA Host-Key-Algorithms in parallel, or is this a bug?