I don't remember what the wonder is exactly supposed to do, but yeah, if it connects any city, then the other city on the landmass prereq doesn't have to be owned by the player building the wonder.
I don't know and won't be checking it any soon, since I play a one-city game.
I wish there was a real way to enforce the one-city challenge on AIs, though, then I could play a normal map but with a ton of other cities to make fun with.
Including resources, though Forts are an easy enough way to cover most of the map all by myself, if I actually put enough effort into it.
In fact, automated workers build Forts randomly even by themselves, so a long enough game could make the map covered just through auto-improving, lol.
This is also my exact problem - the game is so huge that I start craving for a different play mode way before I reach middle-game or so.
I'm now at, what, Industrial Era - or whatever Radio is in.
And I'm already so bored of it that I want to try something else.
Again, though, if I could Multi-Wonder...
Yeah.