In WP the posts are stored with the <!--nextpage--> tag within the content. When you grab a post, WP runs all the filters on it and then displays the post.
To get the "paging" capability, your template usualyl calls the wp_link_pages() or link_pages() function to actually show the numbers. This is not a filter, but a sperate call that is made.
When you look at the RSS feed, it just calls the function to fetch the content which runs the filters and you're done.
To get the WHOLE post to show up including all pages, a new filter would have to be created that only get executed during RSS fetches and will basically return the entire post.
I think WP needs to cater to this need. I would suggest going into the bug database at http://mosquito.wordpress.org and putting in a bug if one doesn't already exist.