I frequently highlight or otherwise annotate selections in ebooks, and I've yet to run across a reader that supports highlighting a selection that runs into the next page--usually I must create two separate annotations, which has undesirable side effects on organization of notes. I've noticed this is a limitation of every application/device I've used for years. Has any vendor implemented a feature to support this requirement? The closest thing to a solution I've found is switching from page display to "scrolling" in iBooks, which is similar to a continuous PDF mode, but I'd prefer to have this feature working in a view of pages.
My Kobo Glo, updated to the 3.12.1 firmware version, can highlight and take notes on a multiple pages basis.
Anyway, I noticed that it only does it when using Kepub files and not with standard Epub books (Kobo ereaders have two different viewing engines for standard epub and their own slightly modified kepub).
If this is acceptable to you, you can use Calibre to transfer files to the ereader, there is a plugin that can optimise them to be used with the kepub viewer.
(Also take a look at an answer that I gave to another question https://ebooks.stackexchange.com/a/4676/136 )
On the Kobo Clara HD I can highlight on both epub and kepub, but I can only highlight across page boundaries on kepub books; on an epub, the ereader never flips to the next page.
On Calibre, the KoboTouchExtended plugin will do on-the-fly conversions to kepub when transferring books to the Kobo, which makes this painless. Otherwise, there is a command-line utility (I haven't used the command-line utility).