One advantage of the abstraction of category theory is that one is not constrained to "concrete" objects and morphisms (I mean, made by set with a structure together with functions preserving it), and constructions of new categories from simpler ones are very easily performed. As a result, any further and more general categorical notion can always be read as a particular case of a simpler and more basic one, in a suitable category. So, in the proper context, a morphism is an object; a natural transformation is a morphism; similarly, a universal arrow is a particular case of an initial object, which of course is a particular case of a universal arrow, and so on). So in a sense, there is no need of the notion of "morphism between natural transformations", just because it is already a particular case of a more basic notion already defined. In practice, several used categories (e.g. algebras; preshaves; chain complexes,...) are themselves categories of functors, where arrows are natural transformations. In this context a morphism between natural transformation naturally arises, even if it will be seen as just an ordinary morphism.