For some reason (I confess I don’t really know why) a custom formula in conditional formatting does not directly support cross-sheet references.
But cross-sheet references are supported INDIRECT-ly:
=A1>INDIRECT("SheetB!A1")
or if you want to compare A1:B10 on SheetA with A1:B10 on SheetB, then use:
=A1>INDIRECT("SheetB!A1:B10")
=A1>INDIRECT("SheetB!"&CELL("address",A1))
applied to range A1:B10.