Access violation with Drupal 7 multisite using shared DB
The question is closed. It seams to be that to have some tables in a separate database:
1) that second db should be placed at the same host as default one.
2) the user who has access to the default db should also has access to the second db.

Adding one more db to settings.php is not needed. It my case the correct settings.php db config has to look like:

$databases = array (
  'default' =&gt; 
  array (
    'default' =&gt; 
    array (
      'database' =&gt; 'oxone',
      'username' =&gt; 'oxone',
      'password' =&gt; '*********',
      'host' =&gt; 'localhost',
      'port' =&gt; '',
      'driver' =&gt; 'mysql',
      'prefix' =&gt; array(
         'default'   =&gt; 'oxone.',
         'users'     =&gt; 'oxshared.',
         'users_roles'     =&gt; 'oxshared.',
         'sessions'  =&gt; 'oxshared.',
         'role'      =&gt; 'oxshared.',
         'role_permission'      =&gt; 'oxshared.',
         'authmap'   =&gt; 'oxshared.',
     ),
    ),
  ),
);