Personally, I don't see it as an inconvenience to the learner. Everything fits on one screen and it very obvious to the learner what they are required to do. If you want to great several jumbled sentences you just string them together using the [Next] buttons - the Masher makes this easy to do. From the learner's point of view, they are not particularly aware that they are using 5 different files, or five different parts of the same file.
> I wonder why the developers have not thought of allowing at least 5 sentences to unscramble in the same file
Why do you presume they did not think of it? They probably did think of it and decided one question per file was better. Some reasons I can think of are that it makes constructing a "unit" of quizzes easier because you can pick and choose from the quizzes and it also provides a cleaner interface for the student to deal with, as I mentioned above.
If you would like to contact the creators of JMix directly about changing the the way JMix works you can write to them over on the Yahoo HotPotatoesUsers group. I believe that at the moment they are working away feverishly at a new software creation, which is destined to become the successor to Hot Potatoes. In fact, this may be a good time to send them feature requests
all the best
Gordon