The Gith have penetrated to Athas, so it is at least reachable by Astral. There was an article in Dragon back in the day that hinted Athas might be a future version of Greyhawk or FR, before the novels took the setting in another direction.Travel between the various worlds such as Toril and Athas is... troublesome to me. And this is because in my vision, things work drastically different. Magic is not the same. So a wizard from the Realms who shows up in Athas is not going to be able to use the weave to cast a spell.
I have no idea how, or if I would even want, to work out a system to have a Realms wizard learn defiling or preservation magic.
Things are not as bad with Greyhawk or Eberron, but still. To me, it's best to use different characters to explore the different worlds.
Now, planes, such as the material planes and shadowfell etc, that's fun.
As for why interconnect these worlds, why not? Blackmoor was connected to Greyhawk and Mystara officially, The Wizards Three articles connected Oerth Toril and Ansalon, we even have connections to Star Frontiers and Oerth via Barrier Peaks, and even Gary did some scenarios of WW2 nazis (our Earth) vs. Oerth wizards.
Crossovers via multiverse have been a thing for years, and there’s nothing wrong with them for some crossing of the streams, so long as everyone has fun.