It'd be nice, but I have my doubts as to whether it would be feasible. It would require a database lookup to retrieve your retainers' items every time it displays a tooltip for anything. That lookup takes time. The second of pause when you first interact with your retainer isn't too bad, but a similar delay every time you mouse over an item in your inventory would bog the game down a lot. (That's one of the main reasons why games have a secondary storage location like bank or retainers. To separate out excess items, so the game can deal with a much smaller more manageable set during normal gameplay.)

Now if in fact SE's devs can come up with a way of retrieving all that data efficiently enough that it doesn't bog things down, then I'd certainly support this request. (Like Zacban, I'd mostly like it for crafting mats, but that's because those are most of what I store with the retainers.)