The rules note what to do if they conflict too much. They can change.
Endings should be flexible, capable of changing enough to ensure they
never become unattainable. If a Hero discovers her ending is
unattainable, she should be able to change it. A player should work
with the Game Master to determine a related ending. (p18 Basic Rules)
If her next Step becomes unattainable for some reason, then she can
strike it from her list and write a new Step replacing the lost one. (p18 Basic Rules)
If one character decides that they are going to redeem the thief as an ending and decides when the situation comes that they are going to do this by destroying the box, then the other heroes story is somewhat messed up since it requires the existence of a box. Likewise if a key Step becomes broken their Story may be a lot harder to tell. As such, it's worth discussing with them some clear end conditions — if one player's ideal end is that they have the jewels, and that becomes unachievable because the other player destroys the gems, their Story is cut short and the other character has become the main character in their Story. This would conflict with the goal of this subsystem, that players be the main characters in their Stories, and cause issues.
You certainly can resolve that by making some new ending, but in this situation it's good to be clear about expected ends, because if you utterly change their story then they're likely feel less heroic and good. They likely picked their Story because they wanted to do things, it's good to be careful that their expected wants are not countered by other players.
There are varying views within the community about what to do if a Story fails or if a goal or Step becomes unachievable. Perhaps you should award the advancement anyway, perhaps you should make sure they never fail, perhaps you should creatively interpret the Steps and make sure they're vague. You're likely to have to do this a lot, as they mess with each other's Steps actively, so make sure the players are ok being flexible, and pick appropriate Steps.
Them working together and being unified is good though. It's very easy for players to get bored in 7th Sea while everyone is doing their thing, so this could be a boon for you. Lots like to tie in Stories to their main plot, you can easily tie their Stories together and have less issues with them roleplaying apart.
You know how mature your players are, and whether they can handle PVP. If they are not stable enough to handle that then it would be best if their Stories were modified. As the above notes, there's likely to be a number of situations where their Steps and endings contradict each other and failure is a likely option.