This has been mentioned before, but it does not match the concept of Sequences. Sequences are thought to be independent songs which are not linked in any way (unless you see the shared samples/instruments as a "link").
If your songs are connected so closely that the ability to jump between them automatically, I'd suggest to use one sequence and put end markers ("---") between the different parts.

That would be a fine solution if i had the option to play from the last marker. I use Sequences for separate movements of a suite so i don't have to listen to the whole song when i press Play (altho i DO need to hear it from the past few measures).
Sequences may have started out being separate "songs" within the track, but with a little evolution, they can be chained together, since they obviously share enough similar attributes (samples and instruments) to be included in one module...

I still don't like the concept of sequence jumping, but in the meantime (well, a few years ago) a new feature has made it into the pattern editor which seems to solve the problem you describe: Playback locking. That way, you can restrict playback to a specific set of patterns (the movement you want to edit) and don't always have to listen from the start. Would that be a workable solution for your use case?