Generally you just shouldn't buy two items with the same unique passive, but I think you get the better of the two effects.
Not sure about Immolate, but I'll share how Spellblade works since it's a little confusing. Spellblade is the damage boost you get from Sheen and its upgrades. If you buy more than one Sheen-based item, the game prioritizes which Spellblade passive to use:
1.
Lich Bane
2.
Trinity Force
3.
Iceborn Gauntlet
One important thing to know is that
Iceborn Gauntlet's AOE slow zone is separate from Spellblade, so if you combine it with
Lich Bane or
Trinity Force you will get IBG's slow zone combined with the Spellblade damage from LB or TF.
1.

2.

3.

One important thing to know is that



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a) the higher of the two affects?
b) depends on which one you purchase first?
example: Cinderhulk (a jungle item) and Sunfire cape (both have unique ability "immolate" at different strengths).