SQL prompt does support cross database queries, but if you refresh suggestions, it doesn't refresh the suggestions of the remote database, just the one you are currently connected to.
So for example, open a query window connected to DatabaseA
start typing 'select * from DatabaseB.dbo.' and you'll get the table suggestions from DatabaseB.
In another window, connect to DatabaseB and create a new table
Return to original window and refresh suggestions (Ctrl-Shift-D), but new table does not show.