Particularly in today's environment you would be foolish to not have a backup plan to your primary goal. You never know what is going to happen next month or next year, so to not pursue every company that you think you would like to work for is selling yourself and your family short.
This is a business, and its simply a business decision. Yes, every company only wants employees who really want to be there, all their first choice, but that is unrealistic. When I introduced my first sponsoree to Jack Lewis about 2 years ago he told my friend to not put all of his eggs into the FedEx basket, to keep his files active at the other carriers who are hiring. We weren't hiring then, but the fact remains that you need to keep all of your options open. Jack knows the business and that it would be foolhardy to only apply at one carrier.
If you go to another company that works better for you and your family nobody should hold it against you or your sponser. They may not give that much weight to his/her next recommendation, but that is the company's loss. I would like to think that the folks doing the hiring (at least at FedEx and I would imagine any airline) have been in the game long enough to know that they won't land every fish they hook.
I wouldn't BS my prospective sponser though, because if they walk in your stuff on the assumption that you will chew broken glass to fly for airline xxx, and then you bolt, that might burn your friendship with your sponser. If you are upfront with your sponser and they know you are looking at a few other companies and they are still willing to walk your stuff in, then they should be able to handle it if you go elsewhere.
You have to do what is best for you and your family.
Just an opinion, worth what you paid for it.
FJ