Slitherine

Playing Rome against the AI, I just noticed that Roman Legions and Alae infantry both have money cost increases with each additional active unit built.... in the same manner as provincial units. Then I checked out the Macedonians and Ptolomy to see if they had the same money cost penalty for heavy and regular infantry. They don't.

So is this Roman unit cost increase intentional and why just for Rome or is it a bug?

PS: Cost increase for each legion is 25%, each Alae 10% and each provincial 25%.

That's definitively not a bug. This is to represent the limited (all things relative) number of legions fielded at a given time. The increase is +25% for Early Republic Legion, and fall to +15% for Marian then +10% to Imperial, representing the bigger military fielded at this time. That's another bonus of going Empire.
Some extra justifications could also be done on a game balance level, legions are powerful tools and Rome has specifics, bonus and drawbacks, that's normal. This is one of its drawback.