Would be possible to extend the use of scene values (any value in general) in fields that doesn’t accept them?
For example, you can’t use string variables to link an external event (it could be useful to simulate methods in objects without increasing complexity or scare new users) or the filename to work with the file.
I understand if it isn’t possible or very difficult (I don’t know how GD works) 
For external events, it is not possible: external events are included when events are translated to code.
You should think of external events as source files of a program: you cannot dynamically include files according to a variable, it would be a mess
Yeah, you’re right! 
I thought something like that could happen
Two words: Conditional compilation.
But conditionnal compilation is compilation, so, the external event sheet wouldn’t be included when playing to the game.