I think they can be fun, and I’ve done it myself a few times (e.g. there are actions you’d only do in If I Wasn’t Shy or All Alone if you’d played the other and realised they were connected).
I will say most players aren’t very good at spotting meta-puzzles between games. Even seemingly obvious connections go unspotted. For instance, as far as I’m aware, the Hat Puzzle hidden between four games in the 2011 IFComp went unsolved during the comp.
New game+ is a different matter and players are more likely to get the intended connection. The Wand had this and it was widely spotted.