I want a particular note to have an accidental in a bar and not have musecore changing them back

And what if I don't want the other Bs to be naturals? Then I'd have to tell MuseScore to explicitly make them all flats or there would have to be a setting to turn the behaviour on or off. Looking at a range of music it seems that more often than not the natural is a one-off and other notes in the bar revert back to their key-signature assigned state so that should be the default behaviour IMHO and that is what MuseScore does, dude.

You must distinguish between writing new notes and the subsequently changing of existing notes.

Enter new notes:
Write a B♭, change it to B with the up arrow key and when writing further B notes in this measure will then be B's. If you continue writing in the next measure, they will be B♭'s again. As it must be.

Change existing notes:
When changing a note, Musescore will only change this note, all others remain unchanged, e.g. the next note will become a flat sign again. It is by design and that's a good thing!
If you want to change all notes in the measure from B♭ to B, select all B♭ notes, press the up arrow key and then only the first note will receive the natural sign.

You wrote:
...once an accidental is placed before a note, all the following notes in the same bar are subject to that first accidental...

Correct, so enter note entry mode and press B:

Next, enter another note and place an accidental before it. So, enter a Bb:

At this point, if you keep typing 'B', the notes are subject to that flat accidental (and are sounded as B-flat) until the end of the bar. Just as the rule states.

In the measure above, beats 2, 3, and 4 are played flat.

kwisj > Thanks, Dude. The app doesn't have to read our minds. As I explained the rule is, once an accidental is placed before a note, all the following notes in the same bar are subject to that first accidental: you don't have to keep writing the accidental in the same bar before all the same notes...

I'm not trying to be condescending (really!), but is it possible this is your first experience with notation software? If so, I can understand your confusion.

You're absolutely right—in notation, the rule is that an accidental also applies to any subsequent instances of that note in that bar (until a different accidental appears on one of them).

However, when you're editing music in a notation app, that music is still being created—and the app doesn't assume that when you change one note in a bar, you want to change all of them. You must choose to do that, by selecting all the notes you want to change, and changing them.

kwisj > Imagine if you have 16th notes in 4/4 time in F major and you want to flatten the B's in one bar. You're going to have to place 16 natural accidentals in front of each of the 16 16th notes?

No, you don't have to add 16 separate accidentals. 😊 To change adjoining notes, click the first one to select it:

Then hold Shift and click the last one, to select all the notes in that range:

(Or if you prefer, you can hold Shift and drag a selection box around them.) Then press your Up or Down arrow key to raise or lower those notes half a step:

Voila!

To change multiple non-adjoining notes, hold Ctrl, click each one to select it, then press the arrow key.

Personally, I'd find it maddening if, each time I wanted to change one note in a bar, I then had to stop and un-change all the rest. So like most of the people here, I'm grateful it works this way. I'm also grateful that if I change a word in my word processor, it doesn't assume I want to change that word throughout the whole paragraph... It's the same principle.

This is just how MuseScore works, as have the many other notation programs I've used over my 30-odd-year composing/arranging/editing career. As you continue to use MS, you may realize why it's this way by design—so we can stay in control of what we write. Cheers!

You wrote:
With the current behaviour it is impossible to enter a score without inputting first the correct key.
Why can't I enter a melody in A major without having absolutely to enter the key "first"?

Try this:
In MuseScore, don't enter a key signature. Simply enter an A onto the staff.
Next, in your head, hum a melody - for example, the major scale (sounds like Do -Re - Mi -Fa...etc.).
Starting from the already entered A, write each successive major scale note on the staff until you reach the A an octave above the first A.
Without a key signature, you must enter accidentals to make the major scale "sound right". This would be true whether entered on paper, or into MuseScore.

The great thing about MuseScore is that adding an A major key signature (3 sharps) will automatically eliminate the need for sharp accidentals on F, C, and G - as they are now specified by the key signature. On paper, you would have to erase all the accidentals after specifying the key signature.
Any tune can be "hummed" and entered without a key signature. In the days of Wikifonia, I saw scores posted and often wondered, for instance: "Why does every single F in this song have a sharp in front of it?" The answer was that the poster blissfully hummed and entered notes, while neglecting to add a key signature afterwards.

You wrote:
On paper I can add the key later and the paper won't suddenly add a natural sign to all F, C and G notes like MuseScore does.

If you look at the picture above, MuseScore did not "suddenly add a natural sign to all F, C and G notes".

You also wrote:
Or, like the OP did, enter a melody without entering the accidentals right away and then have the problem that MuseScore insists you change all pitches one by one in the measure.

I have seen people here neglecting to notice/enter the key signature before they start to transcribe a score. Then they try to add the key signature after they had copied all the notes from the score (with the key signature) onto their score (without any key signature). That's why it's a good idea to keep 'Play Notes When Editing' selected in Edit > Preferences. It allows one to hear when things don't "sound right" (due to missing accidentals - which, btw, are found in that neglected key signature).

You wrote:
I disagree with "one", this is not a fact, this is only how MuseScore sees it.
The OP states:
I place the natural sign in front of the first B in the bar...

Okay, so how many B's are "the first B in the bar"? If more than one, then there would be a second, third, etc.

You wrote:
Deciding that only the first pitch should be changed and automatically adding a flat in front of the next B is implementation.

The OP states:
I place the natural sign in front of the first B in the bar, and Musescore flattens all the following.

Only the first pitch should be changed because only the first pitch was selected. The others remain flat.

(Edited after @frfancha edited his original "adding a natural in front of the next B is implementation" to "adding a flat in front of the next B is implementation". So, I changed my response accordingly.)