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How does it not make sense to you that you would share DNA with your first cousin?
For example, your first cousin is your mom's sister's kid.
Your mom and sister share DNA through their parents, meaning you share DNA with your aunt. Therefore, you would share DNA with your aunt's kid (your first cousin).
I think it's the "grandmother, both sides" that's surprising
Yes, this is correct.
Are you sure it's not, grandmother on both sides share the same percentage with you
Each of those entries is a single person. The interface is saying that their grandmother is related to both their mother and their father. The most enlightening thing would be to see Grandma's account and how related she is to either of them. It should be 50% to their child, and it's likely a lot less for the other one.