The error message
Msg 1763, Level 16, State 0, Line 1
Cross-database foreign key references are not supported. Foreign key ‘%.*ls’.
is a run time error message of severity level 16. It can occur for all versions of SQL Server. This error message appears when you try to create a FOREIGN KEY constraint that references a table in another database. As errors of Severity Level 16 are generated and can be corrected by the user. To execute the statement make sure that FOREIGN KEY constraints does not reference tables in other databases. You need to enforce RI on another level, such as triggers when two databases are involved.