What about Seb Coe, same Olympics, WR in the 800, gold at 1500? Or is he DQ’d for some unspoken rule that you can’t also set a WR in your gold medal event?
El Guerrouj was 1500/mile record-holder when he won the Olympic 5k, though not until after he’d won in the 1500.
There are numerous guys who set WRs in two Olympic events and won golds in both of them (Snell, Kuts, Bolt, Viren, Bekele, Johnson, etc.)
There are 100m WR-setters who only won gold in the 4x1 (most recently Asafa Powell).
On the women’s side, Fernanda Ribeiro is someone who seems to fit any possible stipulations (i.e. she was already 5k WR holder when she won 10k gold, and she never won 5k hold or set a 10k WR). There are probably others (I don’t think the aforementioned Gail Devers qualifies, does she? She never set a 100h WR).