What’s wrong with making a relation that contains all parts of a road? I do that quite often!
I think it makes sense that a Wikidata ID shouldn’t be on more than one object — it’s supposed to represent a single entity, and if that entity can’t be modeled in OSM as a single feature then it seems reasonable that all of its features should be contained together in a relation (although a boundary way is also pretty common for this too, e.g. for a school or whatever that contains many buildilngs).
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