Yes, it makes sense to extend sealed classes freedom to the whole compilation unit:
https://youtrack.jetbrains.com/issue/KT-22286/Support-interfaces-with-ability-to-extend-[…]implement-them-only-in-the-same-module-sealed-on-steroids
We haven't prioritized this issue yet, so feel free to leave your comment and vote for the issue.
As for the reasoning: it was much simpler for the compiler and IDE to keep it within the same package, as that dramatically reduces the number of places where the compiler needs to check inheritors of sealed classes and use that information for exhaustiveness.
Additionally, there may be some questions with regard to multiplatform, since the notion of a module is slightly trickier there. All of that is solvable, it just requires proper design and good technique