[.,,]

G'day Madan,
It is a military saying that crossed over to danncing and then to the general lexicon.
In the military it is not all that difficult to march in formatioin but some soldiers are so clumsy that they do not know which foot is right and which is left so they are constantly outo of formation and nothing looks clumsier than a poor boob trying to catch step in a formation of perfectly drilled soldiers. The contrast is too striking.
Two left feet is chosen rather than two right feet because right indicated correctness and left used to be called sinister and is still now viewed with suspicion.
A left handed compliment is a hidden insult.

In dancing a person who has two left feet looks as clumsy as a doubly left footed soldier as the dancer is in a room of perfectly swaying bodies but can not keep step.

.,,