I have two data sets in one project. The extra data set #2 is what I call "whorthese" and has those people who I think could be family but about whom I am not certain as yet. (For me, the advantage is that I can see all the people in the Picklist providing I have enabled both in the Data Set Manager)
I have been working through a list of people of one of my main branches that was forwarded to me by a relative. Where they are new members (to me) I have been adding them to my data set #1 using "Add Person". Where there is a similar person to that new person in data set #1, I get the notice "Possible matching people:" which I have found very useful BUT it doesn't show whether there is also a matching person in data set #2. (I have checked this with a person's name that I know is in both data sets)
Is there a way to check for all "New People" in all data sets in the same project - if not could it please go on the Wish list

Just a thought based on what I do.
Merge your two datasets into one. I can see absolutely no advantage in keeping them as separate datasets. Once they are merged, the feature that you want is there, plus many others. When you find a family connection, you are ready to make the links.
Reports, charts and the (auto) relationship calculator will tell you all you want to know about who is a proven relative and who is not.
Separate projects and datasets are of value when you acquire and want to keep a relative, authority or friend's database for reference (and plagiaristic <g>) purposes.
Best wishes,
Mike Talbot