This will help speed up progress and save space when working on a game! Having a sprite sheet will also help when organizing files. But you should also be able to change a sprite sheet in the events tab or add multiple sprite sheets to a single object.
Just to be clear, animation sprite sheets can be imported into sprite objects, although they will be spliced into separate files for animations.
You can see the explanation I provided in another thread on how to import a sprite sheet using Piskel. How do I create an animation from a single spritesheet? - #7 by Silver-Streak
You can separate it into by using some online tools
I apparently forgot, I made a full tutorial on using sprite sheets with Piskel here: gdevelop5:tutorials:piksel-sprite-sheets [GDevelop wiki]