Sql-server – Database Tuning Advisor can’t find tables across two databases

You have created a linked server, not a linked database, so there is no list of databases to select from. You need to either use a "four-part name" or use the OPENQUERY() function.

Four-part names describe an object on another server. Usually a four-part name would look like "servername.databasename.schemaname.tablename", but for Oracle you apparently need to leave the database name out. A query using a four-part name for Oracle might look like this:

SELECT name FROM OracleSvr..joe.titles WHERE id = 101

where "OracleSvr" is the name of the linked server.

Alternatively, here is an example of a statement that uses OPENQUERY. It should do the same thing, some people find this style easier to read.

SELECT * FROM OPENQUERY (OracleSvr, 'SELECT name FROM joe.titles WHERE id = 101')

OPENQUERY is documented here.

No matter which style of query you choose, you would connect via your Python program to the SQL Server and then run the query.

You can do this via ODBC, you don't need to specify the database name when setting up the connection, you do it at query time as described above.

The auditing option, along with the resource governor and other enterprise only features are always shown in SSMS no matter which edition you are running. Part of it is probably for familiarity in UX design and part marketing. ;)

Yes, you can use extended events to capture some of this information. Setting up a server side trace to capture this is also very simple and well documented.