Right now, next actions are determined on a per-project basis, rather than per-context. The logic here is that the next available action for a project is the "next action" you'd want to do. So when you use the next action filter in Context mode, you'll only see the next actions for each project.
Unfortunately, I'm not aware of a workaround for what you describe. If you'd like to file a feature request, feel free to
email us. Thanks!