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It was due to missing chainId in config.

Once I changed

const client = new dhive.Client(process.env.HIVE_NODES.split(','))

to

const client = new dhive.Client(process.env.HIVE_NODES.split(','), {
  chainId: '0000000000000000000000000000000000000000000000000000000000000000',
})

it worked!

I'm not sure but using Hive-js multisig with both key at the same time worked without a problem while signing transaction separately (with both dHive and Hive-js) failed with Missing Active Authority.

Even when threshold is 2 and there are 3 signatures (each with 1 weight), it will still fail.