Behaviour of development certificate in apple developer portal and keychain

First part of your question:

No, this does not have to do with the developer portal at all. The private key is on your local computer in advance, and "linked up" with the certificate when you download that. The private key is not stored in the developer portal, and it is not generated by the developer portal either.

You generate the private key on your local computer as part of generating the initial CSR.

Second part:

Keychain assigns certificates for which you have the private key to the "My Certificates" group. It has nothing to do with your Apple-ID.

If the private key is on your computer, the corresponding certificate is listed under "My Certificates".