Is it wise to target three different proposals for three different fellowships with three different supervisors/hosts? I have options to apply for three different fellowships. I want to go for three different proposals with three different hosts. Is it wise and ethical to do so?
No, it isn't unethical. You aren't expected to be exclusive at this stage. Later on, however, if you get more than one offer, you may need to dance about a bit to stay honest with everyone. 

Seems like a lot of work, though. Maybe overkill. Would you really be happy with any of them?