I would disagree. I think the better approach would be the OP's original idea, but slightly modified. If you use SELECT * FROM OPENQUERY( LinkedServer, 'sqlstatement'), you'll have (hopefully) a lot less impact across the servers trying to meld all that together on the local box.
I would weep for my servers if my peers did a view like described above though, in just about any form. That would need some wicked justifications... and a few explanations about why we aren't ETL'ing into a warehouse somewhere.
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