cross-database queries

The cross-database functionality is confusing. All the discussion on the forum is to use control-drag to connect a script to multiple databases, but when I drag connections from the list on the left (control or no control) the connection is simply replaced. Also, I see discussion of a checkbox marked "Include additional databases" but there is no such checkbox on my connection dialogs. See screen shot below. The documentation says that it only works with Linq to SQL which is what we are using. What am I missing?