AFAIK not possible in Nuendo. Probably worth a feature request.
Agreed it’s worth a feature request à la “link selection in editors” (not sure of the exact term),
I have always assigned two key commands :
1 : Find selected in pool
2 : Select in project
Best regards
Yannick
Select the files you want in the playlist and then hit “Control F”. Is that what you’re looking for?