In my testing just now, I have a MS SQL Server with databases (aka catalogs) catalog1 and catalog2.
I use the connection string:
dbc:sqlserver://mssql.myserverid.us-east-1.rds.amazonaws.com:1433;databaseName=catalog1;trustServerCertificate=true
And I set sql.schemas=catalog2.dbo.
Stardog picks up catalog1 from the connection string and catalog2 from the sql.schemas property.
From there I see tables from both DBs (catalog1.table1, catalog2.table2, etc).
It's possible I'm seeing something different because I'm using a traditional SQL Server instance rather than the Azure-hosted version. Let me know if the configuration above doesn't help and I can look into finding an Azure instance.
-Paul