There's an interesting article on The Reg today written by Philip Howard from Bloor Research that talks about SQL Server's ability to support federated queries, which are an aspect of EII.
Before reading this article I have to admit I didn't really understand what Mr Howard was on about when he talked about EII and federated queries but now he has talked about it in terms of something I know a bit about (i.e. Analysis Services 2005) and suddenly the muddied waters have cleared a little.
As far as I can determine EII can be simplified as visualising your disparate systems as 1 single system. Basically those systems appear as 1 single "virtual" system which can then be queried using normal SQL. I also found this description on Wikipedia: "An EII product offers virtualization of heterogeneous data where data takes the form of SQL" which is basically re-iterating what I just wrote.
I agree with what Mr Howard says - Analysis Services 2005 provides this functionality straight out of the box through the use of data source views & pro-active caching (Mr Howard calls them virtual schemas & virtual caching cubes). In the past I have put some thought into how pro-active caching is going to be utilised and the best I could come up with was something like real-time monitoring of call statuses in call-centre. Something like that anyway. I didn't think of in terms of what Mr Howard suggests but I now see where he is coming from and am excited about what could be done in this area.
Its funny how something can seem completely nonsensical to you but then you read about it in a context you understand and all of a sudden it makes a whole heap of sense.
So, does Microsoft support EII? Half an hour ago I would have said "No" but now I'm thinking, "Yeah, maybe they do!" Whether they actually care or not is a different matter.
-Jamie