Yes indeed, in CR, you'll send a copy of the disk toward a destination SR. But still, the snapshot is made on the same storage.
However, I get your point, and I think in theory, it could be doable with some heavy changes in the storage stack (to have a snapshot located "elsewhere"). However, for each read in the VHD chain, you'll have to read on multiple storage at once, which can be complicated technically speaking (especially if they are shared)
