Define states that target only element in multi-value fieldset
See the first comment on my question, the Webform module (super-duper) maintainer @jrockowitz committed a change to the module's composite element example which explains how to do this in Drupal 8.

So this is my solution based on the question code:

use Drupal\Component\Utility\Html;
use Drupal\webform\Element\WebformCompositeBase;

class MembershipItem extends WebformCompositeBase {

  public static function getCompositeElements() {
    $elements = [];

    // Generate an unique ID that can be used by #states.
    $html_id = Html::getUniqueId('webform_membership_item');

    $elements['address_same'] = [
      '#type' =&gt; 'checkbox',
      '#title' =&gt; t('They live at the same address'),
      '#attributes' =&gt; [
        'data-webform-composite-id' =&gt; $html_id . '--address_same'
      ],
    ];

    $elements['address_postal'] = [
      '#type' =&gt; 'textfield',
      '#title' =&gt; t('Postal address'),
      '#states' =&gt; [
        'visible' =&gt; [
          '[data-webform-composite-id="' . $html_id . '--address_same"]' =&gt;['checked' =&gt; FALSE],
        ]
      ]
    ];

    return $elements;
  }
}