Answering as best I can without knowing the full mechanics of succession and exactly how its applied to empires.

In General…

Each kingdom can have it's own succession laws, even if you control more than one - so you can have gavelkind in one kingdom you own and primogeniture for another. A difference in succession laws can mean that kingdoms end up with different heirs, so realms can fracture. What that happens, a game will continue with the heir of the primary title, with whatever other titles he (or she) ends up with.

Because of the above, succession for each kingdom is evaluated independently. The upshot of this is if your ruler has multiple kingdom titles but no Empire title, and all kingdoms have gavelkind succession, you will not lose control any of those kingdoms - since for each kingdom, the title of King will go to the primary heir. However if your ruler had any empire titles (e.g. you managed to become head of the HRE), I think his succession would be handled for the empire as a whole, and the kingdoms owned by the Emperor would go to different sons (or at least I'm pretty sure the de jure kingdoms would - I'm not 100% sure about this part).

In Your Specific Case…

In your case where you are vassal of the HRE, your position is less clear cut. Your kingdoms that are de jure part of the HRE should be bound by HRE succession laws - I'm not sure whether your other kingdoms will be similarly restricted so it might be worth checking. However since you say you have Agnatic-Cognatic Gavelkind in each kingdom, and you don't hold the HRE title yourself, each kingdom's succession should be evaluated independently with the result that each kingdom title goes to your primary heir, while vassals within those kingdoms will be distributed amongst all heirs as you'd expect.

As to why you get the succession warning when Germany is your primary title but not for Italy - I don't know for sure, but perhaps the game only warns you of titles you'll lose within your primary kingdom?

Open up your character window, and hover your mouse over your titles. An infobox should now appear, showing you the name of the title, the succession law and the line of succession.

I do not know a way to change the laws other than the one for your primary title, however. :/

EDIT:
Ok, I think I understand now. I believe it the core of the answer is whether or not a title is a de jure vassal to one of your greater titles. The succession law of a title will always be determined by the greatest title you hold in that "realm". If you have titles in other "realms", those will be determined separately.

• For example, if you are King of Ireland and the Duke of Munster (which is de jure part of Ireland), then the duchy will inherit the succession law of the Kingdom of Ireland.
• However, if you are also the Duke of East Anglia (de jure part of England), then that duchy will have its own succession laws.
• If you also hold the title of King of England, then the duchy of East Anglia will inherit its succession laws from England (which are separate from the succession laws of Ireland, even if you hold both titles).
• Now, if you also happen to be Emperor of Brittania, then I assume all the titles from within that realm inherit the succession laws from your primary title.
• Should you hold titles which are not de jure part of Brittania (say, King of Poland), then those will have their own laws, and the chain will start over from count to emperor, depending on your greatest title within that "realm".

PS: I know my use of the word 'realm' may be a bit different from the one used in game, but I could not find one that fit. What I mean by "realm", is a collection of titles which are de jure connected under one greater title which you control. I hope my intentions comes across despite this.