Does iCloud Two-factor authentication send a code to the same device as a log in request?
This is how it works and isn't a bug.  It's two-factor authentication, not prevention.

Yes, it's being sent to that device but, as you mentioned, it's also being sent to all other devices signed-in with the same Apple ID.  This is meant to notify the user that a sign-in is being attempted.

To use your example, if you're trying to log into a Mac that means you're not currently logged-in.  In that case, the Mac will not get the code because it's only sent to devices that are logged-in with that ID.  Your Mac is not logged-in at that point. 

You can prevent this in two ways:


mark the browser/device as always trusted (which makes you less secure - the log in request won’t then broadcast to all your other devices)
remove that device from your trusted list - all sign in requests will require a different device to receive your 6 digit pin (further locking down that one device - at the expense of not being able to use it as an approved for your iCloud)


If you're already logged-in to your Mac and now you want to add a new device to iCloud, your Mac will get the code because it's a device logged-in with your Apple ID and you've previously 'trusted' that Mac.  So now, the code is alerting all your devices that a login attempt is currently being made.

This Apple 2FA page can provide additional info.