Consider an application with the following three modules:
Assume that all these modules have their own databases (and therefore separate data sources). But at the application-level, all the three modules have to interact with each other. A single data source makes it impossible to build the entire application using ORM. Building three separate applications is not advisable as the interaction between the applications is possible only using web services.
If you use a multiple data source setup for ORM, all the three modules can be built in ORM. They can be part of the same application and the modules can interact with each other.