If there are multiple redirects to a work, for exampe, Rocky with its sequels (Rocky II, Rocky III, etc.), and one were to find a trope page where several of those sequels are mentioned and only one of them is used as a link to the main work page, is it okay to turn other titles to links too?

You should wick every distinct instance of a work title in an example, as it ensures that, should someone split the main article at a later date, they won't have to do as much work to go back and change/make the wicks.

So, yes, I would link each of them separately.

Thanks.