You can read my thoughts on cross-site duplicates in general here: The ability to link cross site duplicates
I understand the motivation for wanting to special-case metas, but honestly I think it ends up being worse.
Let's imagine we did this, allowed entering meta.stackexchange.com URLs in the duplicate field on any question, added support for rendering these links in the title. We're still missing some major portions of what makes duplicates work:
Search doesn't find them. When you go to ask a question and the title-search fills in likely duplicates instantly, you're never gonna see the original - because it's on a different site. Same for the search in the "close as duplicate" UI, and, of course, the normal site-search.
The Related Questions sidebar doesn't list them.
The Linked Questions sidebar doesn't list them.
The Frequent Questions list doesn't list them.
...you get the picture. There's a ton of infrastructure beyond just throwing a link at the top of a question, and none of it supports network-wide linking. It'd be handy if it did (in a lot of cases beyond just this) - but that's a much, much bigger change.
For the amount of support we could feasibly build into this, we're not really getting much in return beyond what we get by just posting an answer with a link in it. In fact, we're getting less than that, because with an answer we at least get the chance of offering site-specific guidance in addition to linking in the network-global discussion.
Even if we managed to solve all of the practical problems, this still wouldn't be a great idea in many cases. Let's consider the single most-duplicated question on Meta: What can I do when getting "We are no longer accepting questions/answers from this account"?
This doesn't even apply to most sites. And the guidance in it is so specific to Stack Overflow in many areas that it's debatable whether referring folks elsewhere to it even makes sense. But without that guidance, it's not really useful to the folks on Stack Overflow, who make up the lion's share of all q-banned users. You see where I'm going with this? Even though it's a network-wide feature, the actual guidance for interacting with it must necessarily be customized to some extent per-site. There are a lot of questions like that...
MSE, like MSO before it, works best as source material: a comprehensive reference for how things work and why they work that way. It doesn't necessarily make for a good support tool without lots of hand-holding, which is tiring to perform every time there's yet another duplicate. Much better to have lots of partial-duplicates that reference it in the context of more localized problems than to close all those localized requests in hopes that each reader will slog through The Stack Exchange Bible in search of the information they need.