@Egor, Symbols also don't embed in InDesign unlike .ai files.

OK, got it.
So, when you drop an .ai file into anything — the baked-in PDF duplicate content get used. That’s why InDesign or Photoshop won’t display the linked document’s content if you save the .ai without the 'Create PDF Compatible File' option — you will get a 'pattern of warnings' displayed instead.
PDF is rendered fast, and this is how these links are processed to be effective.

However, when you import an SVG, it gets converted to the Ai’s native structure, baked in, embedded — to be ready to be selected, edited, transformed, styled, prepared for the Illustrator’s toolbox.

You can do the same with the linked files, by pressing 'Embed' button — but in this case the link between the original (A) and the copy within the current document (b) breaks — it is no longer a live link that gets updated when changes are made.
You can click Edit Original button instead and just open this original link (A) and make changes there, and they will update in the current document (B) — the same way smart objects work in Photoshop.

This is indeed limited, but robust.
However, the need exists. This is why Illustrator developed dynamic symbols: helpx.adobe.com/illustrator/using/symbols.html#work_with_symbol_instances
I feel like this behaves exactly like you need it.
Quote:
> ... You can also perform any operation from the Transparency, Appearance, and Graphic Styles panels and apply any effect from the Effect menu.

And yes, there are limitations:
> You cannot create a symbol from linked art or some groups such as groups of graphs.
> When creating dynamic symbols, you can't include text, placed images, or mesh objects.
There are requests to drop these limitations:
1. Allow to edit color of text in a dynamic symbol instance — http://illustrator.uservoice.com/forums/333657/suggestions/31234753
2. Allow linked content within symbols — http://illustrator.uservoice.com/forums/333657/suggestions/33183520

And perhaps you might be interested in this request, to allow Symbol instances to get updated during master symbol editing (similar to the way how Global Edit treats the temporary symbols it operates with) — http://illustrator.uservoice.com/forums/333657/suggestions/42336358

Please comment back.

@Egor, well, ideally both. But at the moment there's no UI for more granular linked file behaviour side from layers or artboards (which I think is already useful).

So, I'd expect dropping an AI into another AI would work similar to dropping an SVG into an AI.

An SVG can be coloured, stroked, and have it's appearance options set.

When dropping an Illustrator file it's limited. The same happens when dropping an Illustrator file in InDesign.

For example you might have a base icon which has a black fill. Let's say you are composing an artwork consisting of multiple of the same icon in various themes/colours. You'd link these icons in from their source documents. At the moment you have to create a copy for every colour.

Jake, do you mean linked files as a whole, or parts of the linked files (which would have required to be able to select parts of these linked files)?
Can you show an example of the workflow that needs something like this, please? Screenshots will do.