I guess this is the same thing for graphical element annotated from the EEG such as spindles, slow-wave or epileptic activity.
So far, I always merged all the events file since the BIDS recommendation are saying " A single event file MAY include any combination of stimulus, response, and other events" [1].
To me, it implies that we cannot have multiple events files. Maybe the difference between the different event can be explained in the side-card json file
There is an option to include HED tags in BIDS that describe sleep stages in a machine readable way. You can use the tags from the HED-SCORE schema library, see here: https://www.hedtags.org/display_hed.html