Pressure will be set by the relief valve, and you do not set the pressure higher than the weakest link can handle......
And when you say "one of the pumps has say a pressure of 2200 psi, and the other one 3000 psi"... why should one pump "have" or make higher pressure than the other one, if they are mounted parallell into the same pressure line????
Oldnslo suggests a relief valve on each pump, before the check valve.....that is recommendable, but it possible to live with one RV too .....as long as the RV on the combined pressure line can handle the total flow from both pumps.....
(common industry code is to NOT have any valves between pump and RV, the check valve could break down in a way so it plugs the presssure line)
If you set individual pressure on the pumps, that means one pump can by pass while the other one keep "working"....the check valves makes this possible....but it would be big waste of energy, that will overheat the system...I would definately NOT use different pressure setting on the two or more pumps that are combined into the same system.....