Sounds like they're calculating the withholding using the method (b) that is described in Publication 15 on withholding supplemental wages. I guess they can do that with separate checks as long as it's "paid concurrently."

>...Figure the income tax withholding as if the total of the regular wages and supplemental wages is a single payment. Subtract the tax already withheld or to be withheld from the regular wages. Withhold the remaining tax from the supplemental wages.

https://www.irs.gov/pub/irs-pdf/p15.pdf (page 19)

If you don't like the idea of overpaying so much during the year and waiting for refund, consider making an adjustment to W-4 that counters this across the year. It would be a Step 3 adjustment.