That would be really useful. The ideal would be to simply allow interactions between pages, independent of it being a component or not. The only difference is that components propagate their interactions to their instances.
Allowing to change the state of another component, which is essential, would not be enough, the components would need to be implemented in the same file and in the same page, which defeats the purpose of pages in the first place. It is sad that every neat feature Figma has for organize and keep your design system neat is lost when prototyping.
The workaround I am using to simulate non-local interactions, is to implement container components, that combine the change of state in multiple child components. It has some drawbacks that are not obvious at first, but may be enough for what you are trying to achieve right now.