We are finding the same issue that you cannot cross filter on multiple datasets. This would be an incredibly useful feature. Our scenario is we have a trip with a set of deliveries. We want to find inefficient trips based on trip level KPIs and then display the details of the deliveries once this trip is selected. Keeping trips and deliveries into 2 separate datasets to hopefully increase speed.
However, it seems like i have to build a single dataset of trips and deliveries and then deal with trip level KPIs aggregation to make sure something like average miles per trip does not count a trip multiple times because there is a row in the data for each deliver on that trip.
Cross-filtering with multiple datasets would make any 1 to many relationship much easier to deal with in the dashboards.