Firstly, you can work with anyone you want.
I've done this before. I think the best approach would be to tell Mr A, that Mr B approached you, but that you wanted to let A know this fact so they don't have any misunderstandings. At luxury dealerships, I believe "walk ups" aren't coveted by the salesman. It comes down to how sales credit is given, but it's not your concern. They can hash it out later.
Would Mr. B care? A bit...but any quips should be handled between A and B away from the customer.
Look...you bigger concern is to look after yourself. You need to get a good deal...
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