Hi there! What you are reporting is unfortunately not a bug. The system is designed that way to be faster and more convenient for the most common use cases. But I do have a workaround for you. Two actually.

First, you can follow what you are already doing and assign two adoptive parents, then go to each sibling and remove the unwanted parent.
Second, you can instead of assigning a sibling, assign a single adoptive parent to a character. Then go to the intended sibling and assign the same adoptive parent. This one might be the safest way.

Now, in investigating all this I did discover an actual bug, in that characters with the same adoptive parents do not appear in the siblings section. I will be working on that...