I had it the opposite way round - my parents weren't as wealthy when my sister was younger and she was state educated the whole way through, however, they had the finances to fund private education for me, and I went independent the whole way through.
My sister was given the opportunity to have private for sixth form, and chose not to go, because it wasn't an environment she knew. My sister speaks very degrotary of private education, and I sometimes think this is defense mechanism that she wouldn't of wanted it even if she could.
I had the surprise subsequent children after starting on the independent route.
With my eldest I started them at state school - not having experience of it myself thought majority of the population do it it can't be that bad, our personal experince of local state school was that it was terrible, so for year 3 moved to independent.
Then surprise children came along - we live in an area that have very good selective state secondary schools, so for finances we took the approach, we would fund primary independent, in the hope that they would get into selective state. So far they have, so that's freed up cash for younger children. If the case of the younger ones don't get in, we will fund independent senior, as won't go anything other than selective for state.
My children all understand this and I think the crucial thing is communication with the children. They may not understand it all when children, but as they got older they realise it's not preference/favortism etc it is monetary logistics.
The only adults I know with siblings who were sent private/state difference that has caused problems, are the ones where the parents have made it an issue - for example, buying houses/cars for the state educated adults not the private as "that's what we spent on your school fees".