Yeah, if your remote send a "full on" signal to one, then they all get it. If you send the "preset" signal, then they all go to their preset (which CAN be set different per switch), but not independently controlled.

I can't remember if it was Lutron or another brand, but someone makes an additional unit that allows you to set up a number of "scenes" and you can connect multiple dimmers to it.
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2-M60s, VP180, 8-M3s, SVS 20-39PCi, DIY Sub, 8-Shakers, JVC RS45, Anthem MRX-1120