I have essentially the same problem and am also interested in seeing this added as a feature. I created a different feature request before finding this one but it’s essentially solving the same problem from a different configuration. Not multiple databases per org but multiple orgs with single connections on a single app.
Auth0 fails after the first connection, never looks at the other connections tied to that application without additional “hints”. Why it can’t just search all the connected databases during this process without the hints doesn’t seem to make much sense to me. If I hint tells it to search the connections, and auth0 knows the context of what databases it should search in the login process, otherwise a bad hint would also fail because that connection shouldn’t have access to the application, so why not just search through them all and not fail fast on the first db user login flow failure?