Hi Heinrich,

in the situation you have in mind (sheaves on an algebraic variety),
such spaces are not too difficult to construct as Artin stacks. If you omit the condition that the i-th filtration quotient is isomorphic to a given one, then such a universal Artin stack is e.g. constructed in Bridgeland's introduction to Hall-algebras (arXiv:1002.4372, he calls them $\mathcal M^{(n)}$), but of course also in earlier articles by Joyce. Basically it follows from the existence of relative quot schemes.

These universal extension stacks have evaluation morphisms to $\mathcal M$, the stack of all sheaves, sending the filtration to its i-th quotients, so you can take a base change via the map from $\Spec k$ \to \mathcal M \times \dots \times \mathcal M$ given by your set of objects $E_i$, and the fiber product will be the Artin stack you are looking for.

If you want a scheme instead of an Artin stack - then I would ask back "why?" :) Nevertheless, it would be useful to understand this fiber product better when $n > 2$.