When plotting multiple Windrose from raw data where you want the Legends to be identical, you only have to make sure you use the same settings for Minimum, Maximum and Increment. If you uncheck all the 'Auto' boxes and enter these numbers, you can then save the dialog theme and reload it when you make your additional plots.
It would not make any sense to do so. Any intermediate colors you inserted into the legend would not appear anywhere in the graph and that intermediate wind speed would also not be represented in the graph since it has already been 'counted' in one of the adjacent bins.
The boxes are separate because there is no continuum - only discrete bins of information.