What?
Allow layers that you create, to have multiple states.

Why?
Because this is how interactive software behaves. And what we do every time we make a copy of an artboard, to make a button, list or something else switch states. Essentially what we use Invision, Marvel and all the other prototyping tools for.

Example:
I make a blue button, with text inside it. Save it as a layer.
I click on "state 2" somewhere, change the color and text of the button, and set it to activate on-click following state 1.

I go into preview, and click the red button --> it switches to blue.

But it can become very complex?
If you can make it easier than copying artboards, then I would say it solves our problems.

Where can I see something like this?
Axure

Sketch v41, which came out today, does this now. Their method is that they allow you to treat any same-sized symbols within a symbol as states: you can click on the outer symbol and toggle between the inner symbols. I'm still getting used to this method, but it's a pretty interesting approach and seems to work pretty well.

What's missing from Sketch's new states ability is . . . prototype mode! In XD, being able not just to switch between states in design mode, but being able to prototype between states . . . that is the holy grail of awesome!

+1
Perhaps consider a Properties Panel (like Photoshop).

From Photoshop:
Multi-layered smart objects should be imported (or linked) into XD, with states managed by a Properties-esque panel.

From Illustrator:
Multi-layered Symbols could be imported (or linked) into XD, with states managed by a Properties-esque panel.

Within XD:
Multi-layered Symbols could be used and managed by a Properties-esque panel.

Here's how Bradee Evans speaks to this concept within Photoshop.
https://medium.com/photoshop/layer-comps-and-place-linked-smart-objects-6feb574963ef#.5n94t1v4e

Please do this!!!

I envision the current special Symbol folder (the one that has the double-circle icon) and inside it three (for example) special State folders (that have a different, unique States icon), one for each state. The top State folder is shown by default (and the rest are hidden), but you can right-click an instance of a symbol and change it to one of its other states. Or in the layers panel, instead of an eye icon to show/hide each layer, you have a radio button of sorts for each state to select which state is shown. Something like that.

I would hope that in prototype mode you could link symbols' states to each other. That way you can have things like switches, dropdown menus, text in text fields, hover states for buttons and links, click to enter edit mode on a task or something, checked checkboxes, basically all the things!!!

Seriously, states and linking between states would be so rad!!!

Here's a mockup of how states inside symbols might work (I didn't mockup unique state icons, though; I just kept the folders the same folder icon): https://xd.adobe.com/view/c0b26f8a-c8b5-4d59-a081-b9658a45d81f/

Perhaps a solution would be that an interactive element (inside or outside a symbol) gets a new type of action: 'change value' or something similar. Symbol instances could then dynamically change state based on that value.
You could, for example, have a button that sets a 'color' value to the string 'Red' and then have a symbol that shows its state 'Red' whenever the global 'color' value is 'Red'.
I do wonder, though, what the conceptual difference would be between a state and an artboard, save for one being nested inside a symbol.

Here is a little sample Case: http://adobe.ly/2deGQEJ

In a Screen-Based Flow this simple interaction changing the color of an element takes a lot of screens to simulate – and due to practical restrictions, I limited it to just three colors.

The Problem is Making changes to elements later have to be replicated on many screens. And it's hard to keep track of all the connections between screens.

You can just imagine the number of screens exploding, when a second feature is added.
eg a button changing the font-family of the word "Masterplan"

With State-Based Interactions, this could be broken down to one or maybe two screen.

I would like to add that multiple states could be toggled by actions like tapping on the symbol, one of it's elementos or other symbols.

This would enable doing things like expandable objects, animated elements within a screen and other.