I have a bunch of units and I want to include them all into a big unit. This is what the C library does, it has a header whose content just include other headers.
That's a terrible idea. One of the many problems in C is the lack of modularity and the need to have headers include other headers that include the headers that were already included someplace else. It's pedestrian, baroque, and resembles the path a drunkard takes to get home.
Would the same way work with Pascal? So when I use the big unit all of the small units are available to me? Or have I need to use $I to actually include all of the small units?
It might work but, it's a little bit like having a gun and asking someone if you can shoot yourself in the foot with it. Odds are the answer is "yes" but, the question raises concerns about the mental stability of the individual asking it.
(Modern) Pascal is modular and organized, C is neither. You don't want to import C's mess into Pascal.