Wikipedia also has a large citation needed banner. Our banners are styled after those.
The idea behind using this banner, instead of single  call outs, is that we have much shorter articles with generally a single thesis. This thesis is either referenced or it isn't. Therefore, the purpose of our banner is ultimately getting the whole question fixed or deleted.
The idea of the small callouts is that simple sentences can be improved gradually. While this is a fine idea on Wikipedia, which has longer articles and subject expert review, we have a different policy: if a sentence is unreferenced and not essential to the answer, and it detracts from the question, then it is OK to edit it out straight away. Any one can do so liberally, when parts of answers go completely off topic and become personal speculation.
For example: if the question were "Did King Arthur exist?" and an answer had a first part answering "No" with citations and a second part with the answerer's personal theory on what the origin of the legend is, it would be OK to remove the second part straight away -- especially if it were contentious.
We would find no use for a  call out.
If we imagine that the answer were "No", and only the second part were the reason given, the whole answer banner would apply, and the answer could get deleted if it were not fixed. But any edit made by a mod or a third party to remove unreferenced parts would not be possible or not be allowed because they would change the meaning of the answer.
In short, whilst it's an intriguing idea, I contend that it could potentially make the site worse because it would discourage edits.