Jose, you can absolutely do what you seek: running CF2025 and 2021 on the same machine. As for your question about connectors, I can explain.
First, just to clarify a point from your original post: no, you CANNOT "hare same JDK installation". Note that CF2021 runs on Java 11 (only) while CF2025 runs on Java 21 (only)--and CF2023 runs on Java 17 only. Perhaps you previously had CF2021 on a box with CF2018: those COULD share the same JVM, since they both ran on Java 11. Again the key point is about what version the CF engine SUPPORTS.
Now, on to your question about connectors: note that it's since CF2016 that you've had the option for connecting either a) "all" sites, b) one site at a time, or c) "all individually". When you want to run more than one CF version on the machine, how to do it depends on the choice the you'd made previously. And let me note first that to know "how things were configured", just open the wsconfig (web server configuration) tool for the old CF version.
1) If you see it is set for "all" sites, that means you intended to have ONE connector for ALL the sites, connecting to that old CF version. That's the easiest approach for most folks. In that case, if you now want to support a NEW CF version for SOME sites but not others, you would have to first REMOVE that "all sites" connector (using the wsconfig tool of the old CF version) and then (using that same tool) you could add back SOME of the sites to point to that OLD CF version.
And then you could also use the wsconfig tool for the NEW CF version to add SOME of the sites to connect to that NEW cf version.
2) Conversely, if instead when you look at the wsconfig tool for the old version you see you had configured SOME sites (or "all individually") to connect to that old CF version, then again you could just remove (from there) the sites you want to now connect to the NEW CF version.
Then you could run the wsconfig tool for the NEW cf version and point whatever sites you want to the new cf version.
3) Finally, if you ever wanted to no longer connect ANY sites to the old CF version, you could use that old wsconfig tool to remove ALL of the connectors it shows. Then you could add those sites to the NEW CF version using the new version's wsconfig tool. You could technically also use that new wsconfig tool to remove all the individual connectors (from the new version) and instead change it to "all sites".
But as we saw above, doing that lowers your flexibility when the next version comes out.
4) Does that all make sense? It's fairly straightforward once you connect the right dots. 🙂 And to be clear, all this SHOULD works smoothly. I will say that sometimes find that this transition (removing connectors from one version and adding to another) doesn't go well--but that's usually because someone did something by hand or by some unusual process, so that the wsconfig tool is "confused" about what it finds. It may even fail to work--and you may be left with "sites down".
In those cases, it's hard to offer a simple tip of "what to fix", but I will say that I have helped people deal with these problems for over 15 years, so I'm quite confident I could help them resolve things--and quickly. If you may try things and hit a snag, and you don't want to wait for back and forth with folks here, you can learn more about my consulting (rates, approach, satisfaction guarantee, online calendar, and more) at carehart.org.
But I do hope you may be able to proceed now on your own with what I've shared, or perhaps as others (or I) may add more.