Something changes or it still not support this? For example join database1.dbo.Users and database2.dbo.Addresses
I actually did find a way to make an EF model span multiple databases if your database supports Synonyms. Basically you setup Synonyms to Database2 on Database1, create separate edmx models for each, then merge the XML
I posted the exact steps to make an edmx file span multiple databases here if you're interested, along with a script to do the merge for you whenever something changes.