In all versions prior to the Jan 2014 update to Photoshop CC that's just the way Smart Objects work, unfortunately.
Photoshop CC, as of Jan 2014, allows you to choose between embedding and linking when creating a Smart Object. Linked S.O.'s behave just like linked files in Illustrator or InDesign. If the external (linked) file is edited and saved, all the Photoshop documents it is linked to can update accordingly. This external link is maintained when S.O.'s are copied from one document to another, so this would give you the functionality you're looking for.
To link, rather than embed, an object as a Smart Object, either hold down Alt/Option while dragging it into Photoshop or use `File > Place Linked...".