HLODs just look up their lighting data from the already loaded BuiltData of their level, they’re not loading an entirely different BuiltData package.
For a large World Partition open world you’d have to actually break up the BuiltData, because a unified BuiltData package for the whole world would be absolutely immense. So do you break up the BuiltData by Actor? By World Partition Tile and HLOD Tile? Either way you do it you’re adding a significant amount of extra data that you’re loading and unloading as stuff streams in and out. And what about Static Skylights and the Volumetric Lightmap? You can only have one of each of those active at any given time, and you’ve only got so much range from the Skylight before its accuracy starts going bad, and the Volumetric LIghtmap can only be so big (sure, you can tweak the settings to get one large enough to cover your whole world, but you lose basically all the fine detail in it if you do) so that means swapping those out as you traverse the world, and you’re going to get awful light flickering as you do.