Each project has its own build structure and Output Folder. You can set each project to point to the same Output Folder if you wanted all output to go to the same directory. If you are using a particular .gs file within two different projects and they do not share the same output folder then yes the .gs would have to be referenced in each project in order for the Copy Always to work properly. The .cpb files are just copybooks and are only required at compile time so they do not actually have to be in the project itself but they do need to be available to the project either within the copy path or in the project folder.
I would suggest that you open up a support incident and we can do a screen share to see how you have this setup.
Thanks.