Now, what I mean with giant entities is like the elevator wall they used in the original game. There several static objects and entities have been put together. Now, how do you do this? Probably something quite simple that I havent figured out

I'm afraid it's not that simple. The elevator wall is 1 whole model (I'm assuming it consists of many smaller meshes, but all rendered as 1 model from Maya). It has then been made into a MoveObject in the model editor.
If you're thinking of making a custom elevator wall, you'll have to export the whole wall in one go, unless you wanna use many separated MoveObjects all synced in their movement.
This is from my experience with models, but of course there could be ways I am not aware of that makes this easier. But I'm quite positive this is the way it was done to begin with.
Why would you want to connect entities like that?
To create prefabs, bigger engines like Unreal and Unity features it and it's very usefull.
Wapez, I was thinking of making a background forest, where it moves past the player during a cutscene when riding a train.
Sorry if I confuse u somehow.
To do that, it would be easier to move the player past the scenery. You can make a custom, invisible block that moves and pushes the player sideways.