I also have dual passports. The visa application asks if you have a second nationality, although does not ask for the second passport number. However, immigration already knows you have two passport (due to biometrics). There is nothing dodgy, just fill up the dtv visa form thruthfully.
I have experience with visas different than Thailand's, however I strongly believe it applies to any visa. You bting both passports (old and new), yhe offices recognizes the visa was issued to you, you walk through. As long as both passports are from the same country.