On a moral level, you should really be withdrawing from other processes.
However, plenty of people do carry on applying to see if they can get an offer that is better for them.
Just be mindful that as soon as you accept any support from the firm, whether that be financial or onboarding processes for sponsored courses, it will be very difficult to back out of without having to pay them back immediately (and it isn’t as straight forward as your next firm paying the first firm back either).