FK's to other databases also don't work in "normal" on-prem servers. And, we don't need a separate post on this. 😉 We do need a bit of a better description, as suggested, though. In this case, a graphic may replace a thousand words and questions.
You can create synonyms in one database that point to tables in another and they will work just fine as if the table were in the local database EXCEPT for things like FK's. Like Will stated, if you need to keep DRI going across databases, you'll need to enforce that with triggers. You can possibly do some of the checking with CHECK constraints but not everything. And, you need to make sure that your CHECK constraints don't reference scalar UDF's or all code will be relegated being single threaded and possibly worse.