Whether DNG support to do cross reference between components?

Short answer is 'yes'.

See my answer here --> https://jazz.net/forum/questions/232691/procedure-to-link-requirement-artifacts-between-different-project-area-in-rdng

For example - It is possible to link between artifacts (in modules) in components in different projects (as long as they're in the same Global Configuration) and between artifacts (in modules) in different components of a Global Configuration (where the components of the GC contain different projects with components containing artifacts.

Note: The generic structure from DNG 6.0.3 is Global Configuration-> (GC) Component -> Stream where this can contain one or more other (GC) component -> Stream(s). Each of these GC components can contain one or more Project -> (Fine-grained) Component -> Stream(s). A project component stream can contain one or more Module(s) which can contain one or more Artifact(s) - or you can work without modules and just have base artifacts in a project but you'll really want to put artifacts in modules and manage them via the module.

If you add custom links you must add "link constraints" between the components (even if they are fine grained). You may link to baselined fgc:s as the link owner is where you linking from.