Interviewing for a PhD with intent to reject the offer if admitted elsewhere

I made several applications to Universities in the US, Canada, and Europe. One of the universities in Europe asked me for an interview which I attended several weeks ago. I felt like they dedicated resources to interview me as there was 5 professor present. They interview was completely technical in nature.

A week ago I received an email where a professor wrote a feedback about my interview, and told me that they are considering me for a position. They will have to arrange an interview with their industrial liaison before I get the offer. (In Europe, a PhD is a job).

I didn't receive any decisions yet from other places which are preferable choices to me. In case I get an admission offer elsewhere, I intend to accept it. Otherwise, I will accept the offer in Europe.

I feel like what I am doing is not completely ethical since it seemed to me that they university in Europe, or more precisely the professor I am in contact with, is dedicating lots of resources just to interview me and they are trying to get someone on the project quickly. They have never asked me about my plans or whether I applied elsewhere

My question: Should I say something in the next interview? Is what I am doing right (Keeping this place as a plan B) while applying elsewhere?