It is possible. You need to ensure two things:
Firstly. The integration user in Marketing Cloud needs to have access to all the Business Units where you want to use this feature. Click on "Manage Business Units" when selecting the user you use for integration, e.g.:
Make sure they are all ticked:
Secondly, you need to enable the integration to all the Business Units in Sales Cloud as well (once your integration user has the right permissions as per above).
You do this by clicking on the Marketing Cloud tab in Sales Cloud, them "Configure Marketing Cloud Connector" in the upper right corner, and lastly click on "Manage Business Units". You will come to this screen:
Make sure all the relevant Business Units are selected here too.
Keep in mind, that your user needs to be have right permissions in both clouds to be able to access the configuration and apply these changes.
If you still can't perform these actions, you need to check if both your own user and the integration user in Marketing Cloud are integrated with their Sales Cloud counterparts. You can do this in:
Setup > Users > Users > Select user (Username) > Salesforce Integration
Status should be integrated, and the integration user should be API user in Marketing Cloud.
If this still doesn't help you, I must refer you to either the official troubleshooting guide, or to log a case with support.