You should depend on any dependencies (including frameworks), but you shouldn't bundle them, exactly so that when an app is bundled it can do the efficient thing and share dependencies.
> What happens if you want 10 components that each use a different framework?
One reason to now use frameworks, but use smaller modern rendering libraries, or none at all. In a large application it's probably not a big deal to use a couple of 3KB libraries - you'd still be far under a typical framework in weight.
> Or some of them use the same framework but different versions?
That should be fine and is a huge reason to use web components. When you have a stable component boundary you can upgrade libraries a component at a time, rather than needing to upgrade the whole application at once. Yes, you might have some overhead during the transition, but at least you aren't stuck. You might not even deploy during the transition, but at least you could. Framework transitions are super tough in monolithic frameworks and I've worked with teams that use web components specially to get around that.
> What about the same version, does that get duplicated for each component or they get shared?
Again, components should be distributed unbundled so that bundlers do the right thing. It's similar to not bundling React with every React component, or jQuery, etc.