When I gave this presentation to the local user group, this question came up.  The only idea someone had was for the performance files.  Use the performance collector in each domain. Then, collect the files into the performance data folder where the repository database is installed.  I haven't tried this, so I don't know if it will work.  I can email the person who wanted to do this and see if he had any luck.  You can also send an email to SQLH2@Microsoft.com with questions.