Powdery mildew disfigures but rarely kills plants. Some plants, including zinnia, garden phlox, bee balm, and lilac are simply prone to mildew. They don't "give it" to one another, however. Each plant species is prey to its own fungus species. You simply see the same symptom on different plants. Fungicides can be used as mildew preventatives, but using them is tedious and over time it will be less fruitful as resistant fungi survive and multiply. In addition, that tactic is like smearing soothing creams on a rash rather than working on the underlying cause of the irritation.
When mildew is prevalent among species, watering problems and poor air circulation may be the real culprits. Look at your watering practices and plant combinations. Zinnias and phlox are more prone to mildew if their leaves stay moist for long periods. Bee balm (Monarda) and lungwort (Pulmonaria) are more susceptible when grown too dry. Rearrange your garden to group plants by their varying water needs, then irrigate more carefully.
Where air doesn't circulate well, mildew spores have more time to grow and take hold on a leaf. Dead-air spots in a yard may be found near solid fences and thick plant growth. Pruning to thin overgrowth can help, as can replacing solid fencing with airier structures. You might replace some varieties that you already have with disease-resistant types-throw out Starfire phlox and plant Franz Schubert phlox instead. You can also abandon garden phlox and grow meadow rue (Thalictrum) or Culver's root (Veronicastrum virginicum) instead. Research plants in garden encyclopedias and on the Internet before you buy, to learn the disease-resistant varieties and species.