I think it's a test of motivation, but forum please correct me if I'm wrong. I think they're looking to see that you've applied to similar firms in terms of size, culture, work, practice areas etc. I don't think firms are jealous if you apply elsewhere as they understand that candidates have got to make opportunities for themselves.
For instance, if you say you have applied to a huge Magic Circle firm, a boutique family law practice, and a local solicitors down the road it doesn't look as convincing that you want to do the work of a multinational corporate law firm? I think anyway