Basically, it's because the the fare rules for these flights explicitly disallow what you're trying to do.
Firstly, AT don't have a specific fare published from SID to NSI. This isn't surprising, and doesn't in itself normally stop you from booking a ticket between them as you can (normally) just book it as two separate fares for the two flights - all on the same ticket.
They do have fares published between SID and CMN, and between CMN and NSI - so you can book those two sectors individually.
The problem is that all of the fares that they have published between those cities include the following rule :
Category 10: Combinability
END-ON-END
END-ON-END COMBINATIONS PERMITTED WITH DOMESTIC FARES.
VALIDATE ALL FARE COMPONENTS. FARES MUST BE SHOWN
SEPARATELY ON THE TICKET. TRAVEL MUST BE VIA THE POINT
OF COMBINATION. SIDE TRIPS PERMITTED.
An "End-on-end" ticket is what it's called when you use two separate fares to create a single journey. As you can see, they are allowing end-on-end combinations ONLY with domestic fares. This means that although you can book these two segments individually, you can't book them as a part of a single ticket - as the rules explicitly disallow it when the connecting flight is international like yours is.
Combinability rules like this are common on cheaper fares, but in this case they have the exact same rule on even the full-fare (Y) tickets, so it's not just bumping the price up like you'd sometimes see, but actually stopping you from doing it at all.
The reason you can book SID-DLA is because they have a specific fare between those two cities (TA0W0CVA SID to DLA), so you're booking it as a single fare rather than attempting to combine two fares.
This could be an oversight on their part (eg, someone forgot to create a fare for SID-NSI), or it could be deliberate - nobody but the airline fare management people will know, and you're not going to be able to get in touch with them...
