Well, I think it depends on what we consider the priority of the issue.  So, I personally would count this one as low, and would be happy that it gets fixed whenever we happen to upgrade to a version of Sphinx that fixes it.  If it is an issue we consider higher priority, then yes linking to the corresponding Sphinx issue here would be appropriate, and we have done that in the past.  (My notions are of course not the sole determining factor on the priority.)

In case you don't know, Georg is the primary author/maintainer of Sphinx, and I'm sure he'll be happy for any help you (or others) want to provide :).

By the way, although I use it on my own site I'm not by any means a Sphinx expert, so my thoughts about where this should be changed could be wrong.