Afaik not, you cannot "lock" this behavior. Also note that it will always connect you to the first networks of the network(s) associated with this favorite.
The main problem may be that it's hard to offer a multitude of options in a menu.

I could imagine a "prompt window" as a new feature:
- If the favorite isn't associated with any network, or the current network only: join the channel on the current network.
- If the favorite is associated with one or more networks (acc. to grouping at options:connect:servers) that differ from the active network: prompt what to do.
This prompt window being:
- if the current network is amongst the networks of the favorite: "join on current connection"
- a dropdown box for "network" (listing all the other networks associated with the favorite) and
- checkboxes to decide whether to "open a new connection" or to "switch the connection" to the selected network
... and finally a new checkbox in "organize favorites" that enables/disables prompting, with disabled = current behaviour of the favorites.

Maybe you think it's overkill, others may dislike the idea of a prompt, or would prefer a "favorites"-dialogue that could offer the most options. It's but what crossed my mind having read your post... smile