Connection of multiple wallets on one app / device

If you create multiple wallets (or receiving addresses) on one app like Ledger Live (the same hardware device of course) – is there a connection between them?

Electrum created a new receiving address all the time I clicked on "Receive" - on Ledger Live it's not like this, why? Isn't it unnecessary to use the same address all the time? But are those addresses that Electrum created linked somehow, or is it only the app itself that combines all addresses and shows one balance?