We theoretically investigate the polarization-resolved dynamics of two vertical-cavity surface-emitting semiconductor lasers that are mutually coupled through coherent optical injection. We find a sequence of bistable polarization switchings that can be induced by either changing the coupling strength or the optical propagation phase. The successive polarization switchings are correlated to the creation of new compound-cavity modes when these parameters are continuously varied. The switching dynamics and the role of asymetries are also discussed.