In Oblivion, if you selected multiple objects in the render window, and then rotated them along any axis you wanted, the CS would consider them as "one object".

In Morrowind, which I haven't modded much before, it appears that even though I select multiple objects, when I rotate some of them rotate individually along another axis than the "one object" does. This is very annoying and prevents me from duplicating and adjusting larger groups of objects.

Is there any way to avoid this, or will I have to kill myself out of annoyance?

That is true and has something to do with how they were as individual items when first made and placed.
Each object when made has a 'rotate center' which made or may not be in the center of the object - the way I deal with that when moving/rotating lots of objects is to make good use of the Ctrl key to select and de-select on the fly and deal with a smaller group or individual items as needed.
By the way annoyance IS the name of the game when it comes to the CS.
I still am amazed how mickey mouse the CS is considering that (according to Beth) it's the program the developers used to make the game.

Morrowind's CS was too old and odd for me
I'll move back to Oblivion modding and eventually Skyrim modding instead ^^

This will only occur if those objects are already rotated in x/y axis. Objects that aren't rotated will move as one. Good solution is to rotate only the objects that aren't already rotated and then adding the rest by hand (since only decorations are supposed to be rotated differently in the 1st place).

edit: if you found Morrowind modding annoying I can assure you Skyrim will be hell for you. I have years of experience in modding Morrowind and Skyrim is still hell for me. + you're missing out on a great game!