In site setup, I originally only entered one domain.
Because of this, the "enable cross domain tracking" was grey/disabled. I could not enable it.
Well, it turns out that its disabled until I enter a 2nd domain to track. It should have told me that instead of just being disabled.
We could show a little text next to the checkbox to clarify this, eg.
To use Cross Domain tracking, you must specify at least two domain names in your Website. or better