In these variants, players control two characters... Is their gold together in one pool? i.e. if I have Magician and Warlord, and the Thief steals from Magician, do I lose all their gold together?

Thanks for the help!

Yes, I believe so.  I played it that you are still the one in control, but that you get to two roles to play.  You do not have two different cities or piles of money. 

I agree.  You only have one city, so you only have one gold pile.  The only reason for having multiple leaders is because there'd be a ridiculous number of leaders "left out" every turn otherwise.  The Assassin and the Thief would be grossly underpowered because the odds of them picking someone who's not even in play are pretty big.

You might be sitting there thinking that as it is they're a little too powerful, since there's double the chances of you getting hit, but remember you also get two Actions in this play mode.  You can build up gold much faster because of that.

 I agree. Page 8 of the rules says "Players do not have to separate their gold or their districts between their characters, as they still only have one city."

I played a two player with my gold and cities together. My characters were acting as a team so they shared resources (buildings, gold), and if a character targeted one it affected the resource stock. At least that is the way it made most sense to me.