Hi partner,
Yes, this is by design. Entity list cannot be in an entity association with entity task.
I would recommend you use connection to add sevral marketing lists in one task
Go to Advanced Settings > My Apps, open app designer of Sales Hub.

Click Entities and select Marketing List. Save and publish.

In the Task form, click Related tab > Connections.

In the Connections tab, click Connect button.

Search Name, and click 22 type of records, then select Marketing List, pick the record you want to connect to. Save it.

Then we will see this marketing list in the Connections tab.

In this way, we will add marketing lists to the task.
If you want to display all connections in the TASK tab instead of clicking Related> Connections every time, then you only need to insert a sub-grid of Connections entity in the TASK tab.
