How to have both PCB components and external components in the same KiCad project?
There is no straightforward way to achieve what you would like, as it demands too much from any EDA software. You can certainly find a dozen workarounds to get to the eventual end point though.

More specifically, let's look at what happens when you put down an LCD on your schematic. The software expects it to be a component connected by traces. For traces to connect, it needs a footprint. If you drag wires to that component, it becomes part of the net, and the program expects it to be connected - otherwise it'll flag it as error, as it should.

In my work, we use a graphic editor to draw a system diagram that outlines these additional system-level components - in our case it's a simple 2d CAD software called QCAD.