I agree, the "one database at a time" approach is the way vendors ignore the harder problem of connecting data across platforms.
I used to work for a company that built the "automagic ETL" kind of solution. You could write a single straight SQL statement across virtual "tables" (if you had non-tabular data, say NoSQL, you could query it through a table-like projection). It could literally join data across heterogeneous systems by shuffling data between them or to a dedicated "analytical processing platform" for join processing. Or you could do things like, create a table on one system, as the result of a select from a join of tables on three other systems. At the time, this was way ahead of what anyone else was doing.
However, it is a hard problem to solve, the company is/was small and funding was a problem because it took a long time to find ways to invent the tech. Also, it was an enterprise solution and closed source - when it really probably needed to be open source to be able to support the diversity of data sources.
These days, between Apache Drill, Spark, Ignite, etc., and any number of other commercial solutions, we're starting to see the solutions to solve the problem you're talking about.
I bet this Metabase UI on top of Apache Spark, and your databases, would be a killer. That's a common pattern (BI tool on top of Spark), see Apache Zeppelin for how it uses Spark, for example.
That said, as long as your data isn't truly ridiculously huge - if it can be centralized, centralization still works just fine.