While many things may have been possible, such an outcome was highly unlikely. This is due to a fundamental difference is the structure of these two empires.

As a brief aside, note the term empire to describe Cnut's holding is a retroactive one, in the same way as the Angevin empire is. Historians have described Cnut as imperial because, compared to the other kings of Europe, he was superior.

The North Sea Empire was the total of Cnut's kingdoms. He was king of Denmark, England, and Norway. By the time he became King, these kingdoms were already beginning to develop their own identities and cultures. Despite being in many ways related by a Norse history, certainly in England, the Anglo-Saxons were, by the end of Cnut and his sons' reigns, dominant. So the North Sea Empire was really three kingdoms hills together by one man.

The Roman empire, on the other hand, was an entirely different system. Rather than being a collection of different peoples in separate kingdoms, the Roman empire was an institution whose territorial extent and system of laws and government was forged over centuries. This ensured its continued expansion, to a point, as well as its longevity.

The Roman empire, importantly, despite having an emporer, was never held together by a single man or his family. True, there were dynasties of emporers, but one family could always be replaced by another.

To sum up: The Roman empire had an entirely different structure to Cnut's North Sea Empire, allowing it to exist for centuries. Describing Cnut as imperial is simply a recognition of his power amongst kings. Because of the fact of different kingdoms under one person, a breaking apart was inevitable, even if his sons had been able to keep to kingdoms unified.