When i use the handy "add languages" link on the sidebar, i am only allowed to link between languages of the same project.
I am an editor of ES Wikisource, and currently linking a lot of author articles to Wikidata. Whenever i want to do this, i need to 1) search for a Spanish Wikipedia article equivalent, 2) Click "Wikidata element" 3) Click edit on Wikisource section. 4) Add the article to list.
The more obvious way to do that should be using the handy link, but currently it is not possible. I understand this is intended for preventing "bad" project names to reach Wikidata, but at least you should be able to write "eswikipedia" or "eswiki" (don't know for sure) and make the link.