In the Dissidia games, the main protagonists and antagonists of Final Fantasies I through XII battle it out in a war between the gods. It makes sense, because said gods can pick and choose which fighters they want, and play out the scenario. Then Shinryu revives the loser, and everything restarts. In the Kingdom Hearts series, Keyblade wielders can traverse between Worlds. However, the only reason for that is the nature of the Keyblade; the Worlds are otherwise completely separate, with walls of light to make sure they stay that way. Then there's the corridors of darkness, which can only be used by beings of total darkness and dark Keyblade wielders.

Your idea was to have crossover appearances. Naming Dissidia as an example didn't matter too much in my argument, as I'd have brought it up anyway. That being said, how would, say, Cecil come to Vana'diel? Why would he? I can ask the same questions regarding any Final Fantasy character. There are no characters currently in Final Fantasy XI that are totally dark, so the dark corridors wouldn't work. About the only way I can think of where it would work is if you lost against Shinryu, which caused a second battlefield to open up, where Shinryu summons a random Final Fantasy character to fight you. Depending on the character, you may get help against Shinryu, or you may have more bosses to fight. Frankly, though, I don't think that's a great idea.