Also agree with the OP. As it stands Family Safety is broken if you are trying to use it for multiple devices.
There seem to be quite a few threads on this now and in this one someone from Microsoft made this reply:
If you have children in your Microsoft family that sign into more than one device, you may notice that accounts you had previously linked now appear separately in your family roster. We are making this change in preparation of new features coming soon in Windows 10 that will help you manage child accounts across multiple devices in one place. We apologize for any inconvenience—thanks for your patience as we get things ready.
Not sure what to make of this but it suggests family safety might remain broken until Windows 10 is released.