- orchestration, or what happens when
- data manipulation, aka the T in ETL
- data movement, getting data from A to B
Orchestration? Please do not use dynamic SQL, you're digging a hole you'll never get out of. Moreover, SQL has zero support for time-based triggers so you'll need a secondary system anyway.
Manipulating the data? Sure, use SQL, as long as you're operating on data from one database. Trying to collate data from multiple databases may have unpredictable performance issues even in the engines that support it.
Moving data? There are much better options. And the same caveat as for orchestration applies here: every RDBMS vendor has its own idea of what external query's should look like (openrowset, external tables, linked servers) with their own performance considerations.