Given a finite group $G$ acting transitively on a finite set $X$, we can talk about transitive subgroups of $G$, i.e. subgroups of $G$ that also act transitively on $X$.
Now suppose $G=H_1\times H_2$ is a direct product of groups, and assume that $H_2$ acts freely on $X$, so that all its orbits have the same size. Clearly $H_1$ acts transitively on the orbit space $X/H_2$.
Is it true that the transitive subgroups of $G$ are exactly those of the form $K\times H_2$ for $K$ a transitive subgroup of $H_1$?
If not, can they be described in general?
I haven't thought about the general question, but the answer to your main question is no in general.
Let $H=H_1=H_2$ be any group with trivial centre, such as $S_3$.
Now consider the action of $G = H_1 \times H_2$ on the set $X$ of cosets of a diagonal subgroup $\{(h,h) : h \in H \}$ of $G$.
Then both $H_1$ and $H_2$ act regularly (i.e. freely an transitively) on $X$, and of course $H_1$ does not contain $H_2$.
These examples can be viewed as the group generated by the left and right regular representation of the group $H$, which centralize each other and, in general, intersect in $Z(H)$.