Multiple databases or one large database? My company has a framework where different areas of a region are created as separated databases - we call them datamarts. All of the databases are exactly the same and in some regions we have 20 -30 databases where some or all are included in a particular query. Is there a performance penalty when we perform queries that join these databases or does SQL Server join these cross database queries seamlessly. Some of the databases may have a few million transactions.
Do the data marts need to have any of different schemas or different backup and recovery strategies? These would justify the separate databases.

Having these data marts has disadvantages:


query performance degradation
logical inconsistency

difficulty to enforce certain constraints between data-marts (unique, FK)
duplication of lookup data in each data mart, followed by drift of values

(globally) inconsistent restores 
operational overhead
HA/DR


Your post does not provide the reasoning why data marts were chosen, so I cannot judge what advantages were leveraged or expected. 

For a more thorough discussion see Multi-Tenant Data Architecture.

If you want performant queries on aggregated data from all data-marts, why not do just that? Aggregate the data-marts into a single DW, powered by columnstores, and enjoy performance.