Hi Chris,
There's not a native way to do this, but you can create an index of all documents from separate sites by setting up your own federated search engine (as described on Setting Up Confluence to Index External Sites). However, I don't believe this will affect the functionality of macros such as the Labels List macro.
You may also be able to build a User Macro that retrieves data from other Confluence sites via the REST API.
-Zak
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