Simultaneous heat flow from the warm star to the cold star or even radiation to outer space would qualify as “some other change, connected therewith, occurring at the same time”.
Even if you are using Carathéodory’s principle with Planck’s principle, there is still no violation. A (closed) system consisting of two cold stars in space is not adiabatically accessible from a system consisting of a warm star and a cold star in space. A warm star cannot turn into a cold star without suffering some transfer of heat or energy, either to the cold star or to space.
~Max