The Open With options don't work when file is open in another editor. It simply focuses that editor. It should close the other editor (maybe after showing a warning dialog), or disable the Open With commands when the file is already open.
Fixed in version 22.214.171.124 (master)
Author: Vsevolod Kukol
Commit: 1dc0ed993f9a6476544bfebe6be4162c8f6fad7c (mono/monodevelop)
I have checked it with latest master build of XamarinStudio-126.96.36.199_2b0cf79be1c546ec18129188aecde7e3bcd3821d and observed that this issue has been fixed as shown in screencast : http://www.screencast.com/t/ySmhntkOfvgn
Hence closing this issue by marking it as Verified.