I've played one game with the AI as COIN, on Level 2 IIRC.
It happened when COIN started to capture; one COIN piece would make captures, then another one would start capturing.
Seemed to be limited to 2 COIN pieces (IIRC again); I'm not sure if it happened every time it was possible.
You understand the rules of the game correctly: only one COIN piece moves, and if it starts capturing it must continue to capture (though the path the pieces takes is up to the player; there is no requirement to take the largest number possible).