You could try adding the same library twice with different paths. Then the other OS finds it in one and the other in the other path. Both would complain about one.
You can also try adding a path in general project settings and using that as part of the path. That would be a cleaner solution if it works. The paths (Preferences->Configure Paths) aren't stored in a project but in a user config file.
I'm not sure if any one of these work. If the latter doesn't work I would consider it to be a bug.