Back in my DBA days, I used the MSSQL equivalent, "Linked Servers", to set up regularly scheduled ETLs. It's a nice way to reason about tables since you can test your joins in real time. The only real implication here is performance, as someone else mentioned in another comment, joins can be quite slow. In my case my ETLs were usually once daily and the fact that they took 1 minute instead of 1 second was not a huge deal.