Yes, that is how the hierarchical setting works. Post types are independent entities. You can’t mix and match them just like you can make a “Post” the child of a “Page” or the other way around.
So…
Is there a way to accomplish this or is this a WordPress limitation?
This is intentional behavior. I wouldn’t call that a “limitation”. Honestly, if you are mixing multiple post types I don’t see the point of having multiple post types.
You will have to crawl the WordPress Plugin repo or write your own code for this, which I expect will be a big project, which would make it “work for me for free” and off-topic here. The “Posts 2 Posts” plugin might do what you need. I have never used the plugin but it appears to be pretty solid. I don’t recall ever seeing a complaint about it and I do recall seeing many recommendations.