Sure you can set a Wonder as a Requirement to be able to Build another Wonder.
That Requirement could be used to facilitate building another Wonder that you do not want built until after the First Wonder has been built and that is also desired to be built in the Same City.
I use this in EFZI2 for the above reasons so these things do have their Place.
Kulade is referring more to Game Balance of a City having another Wonder, rather than IF it can be done. The Game Balance all depends on What you do with it...Naturally, this includes any Wonder Settings, along with anything you adjust or have in your game.