on the same server, i believe it's no problem; every query eventually gets resolved to all objects to thee part naming conventions...database.schema.object;
I have a system I babysit that we recently migrated to use Synonyms for the three part objects, to make it easier to build development vs QA vs production instances.
you can look at the execution plans of those kinds of multi database operations, there's nothing different than when all the objects are in the same database.
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