When a city is holy city for more than one religion, it almost always happens that it "loses" the holic trait for the second religion. This happens in particular with Delhi and Jerusalem because they are likely (the first VERY likely) to have 2 religions. It may happen also with a Chinese city having Confucianism and Taoism. I'm not sure what causes the problem, but I don't remember ever seeing it in Vanilla Civ4 or in RFC (but I haven't played RFC since the first release of RAND). Initially I thought it happened when one holy shrine was built, but now I'm not sure anymore... anyways, I'm sure that it does happen, after a certain number of turns or after a certain event.