I found a way to link a sheet both ways between 2 files but it feels a little “unofficial” and risky, as if I intruduced a dependency cycle.
What I did is :
open file 1, add a sheet linked from file 2
save and close
open file 2, delete that same sheet and add a linked sheet from file 1, selecting the one that was linked from file 2
Now if I make changes in either file, they propagate in the other but is this really the way to do it? Is there any risk of data loss in some situations?