Maybe the larger, light teal with orange horns one is female and this one is male? I wonder...

As caterpillars don't need to find/attract sexual partners, I guess there is no need for gender dimorphimsm at this stage of development (that doesn't mean I would completely exclude this explanation).

In Wikipedia I find: "They molt four times. Each instar is different, but on their fifth and final instar they become a bright green color, with huge, black-tipped red horns, earning them their common name hickory horned devils.".