In the Nether, I placed my Lodestone and decided to set the location with only ONE compass. Then, my other Lodestone compass, and my regular compass started pointing to the same Lodestone. Once I moved my Lodestone Compass off of my hotbar, it unlinked from the Lodestone along with the rest of the compasses in my inventory. Then, I moved it back to my hotbar and they all linked again.

First Image: Them all being linked after I clicked the Lodestone.
Second Image: Them all still being linked together but not linked with the Lodestone after removing the compass from my hotbar.
Third Image: Them all being linked again to the Lodestone after putting it back in my hotbar.

NOTE: I am on a 20w14a SERVER, if that gives any context!