They are all separate and independent. Changing one does not change the others. You can't copy and paste setups either. If you've used multiple tunes on a car in the past, you will often sometimes find those stored as setups. As someone mentioned above, you get into the settings sheets at the bottom right of the tuning menu and you can change the names of the particular sheets from Setting A, B, C etc. to whatever you want.
I use it to store tunes for the typical kinds of racing I do with the particular car. In Nascar for example, I'd have one tune labelled Daytona, one labelled Indy and a third that might be Indy or Daytona Loose for example. Other guys that race more Nascar might have one or two cars set up entirely for one track and one could be Daytona RS one could be Daytona 30+ laps and one could be Daytona Restrictor Plate
On a road course set up, I might have one labelled 500PP SS, a second one labelled 550pp RS etc. Makes it easy and quick to change setups that way, but it does take some time to set that all up.
Use it for however it works best for you. 👍