Yes, it is expected that changes to widgets only affect the current page.

Upon entry to a page, the widgets are reloaded from the editor version (CF object). You can work with widgets using either GUI.widget() or CF.widget(). GUI.widget() only affects widgets on the current page. CF.widget() will indeed allow you to change labels/locations, etc on other pages but as soon as you load the page, the widgets revert to the editor settings.

Therefore, use GUI.widget() in your page scripts to setup the page just before display to ensure correct location, labels, etc... You can use CF.widget() as well but the best use for CF.widget() is to retrieve image resources, etc... from widgets in other pages/activities.

Note that on a page, CF.widget() and GUI.widget() return exactly the same object (used === identity to check) so you can basically use them interchangeably in a single page.