I really don't see supporting this anytime soon. There is an easy work around (merge the jars), and there are many more important features to implement.
Thanks for your answer, I see that's not that important. And I think I wouldn't use it anyway since it's non-standard.
But there are situations when you can't merge the jars because you have a framework which can be extended by third-party modules/jars and you are in a 24/7 environment. Using different jars you can just add/delete/upgrade single modules of the system.
I will now use explicit foreign keys and custom finders to solve this problem. This should work just fine and the features of CMR aren't so important in my case.