Yes, it is missing feature from your point of view. All/multiselect is there only because it is a dashboard variable. But all/multiselect of datasource doesn’t fit into current Grafana implementation. Each query has reference e. g. A, which then can be used in expression, transformation. But how will you deal if you have multiple A references, because all/multiselect is used for datasource? So I would say this is not good feature.
I would define 3 queries - one per datasource and then play with where condition and datasource variable. That condition must return false/true based on checked variables. So if datasource is not checked, then where condition will be false and that query return nothings.