Hi Jia Bin, thanks for providing us with the scenario. I guess the answer will vary from industry to industry. In the utilities sector, it is not uncommon for a vendor to provide services to multiple utility companies.
I assume the PM is still relatively in Company B in this case. I would recommend the PM to find out more details as a first step, for example, are A & B direct competitors and will there be a conflict of interest? What is the nature of the vendor's work? What is the vendor selection process like? How much decision power does the PM have?
Then the PM will consult with documents such as the Statement of Business Conduct and lessons learned from the previous projects. If available to your company, consult with an ethics/compliance specialist. From there the PM should have a clear direction on what the next step is.