Dependencies are managed at the project level, and adding to all targets is desirable in the common case - a frequent problem in Xamarin was people accidentally adding a reference to only one project and then having the others break.
If you need to restrict a dependency to specific targets you can edit the csproj to add a condition. For example, this includes ClassLibrary1 only for windows:
<ItemGroup Condition="$(TargetFramework.Contains('-windows')) != false ">
<ProjectReference Include="..\ClassLibrary1\ClassLibrary1.csproj" />
</ItemGroup>
You can file a feature request to provide a way to manage this in the UI at https://developercommunity.visualstudio.com/search?space=8&q=maui