Hi all,
I have been working on this feature during the last couple of days and I've sent a pull request [1] containing what I've done.
With the changes the long dropdown to select foreign column has been split to two dropdowns, one to select the foreign table and the other to select the foreign column. I have also extended this to support cross database relations with an additional dropdown to select the foreign database.
So when the user selects the database, the entries in the table dropdown are filtered only to show tables in that database and column dropdown is filtered in a similar manner when a table is selected. Own database is selected by default as it's more common to setup relations inside the same database.
Checking relational integrity feature was already supporting cross database relations. I've added table name to the displayed text to make it clearer. I have also updated a couple of FAQs in the documentation related to these features.