Thing is, he said himself Kaguya's dimensions were incredibly far, so naturally that'd have been the primary reason of the massive chakra requirement to get in there.
As for whether they're linked, imo no. If you want to take the wiki literally then sure, every kamui type mangekyo would have its own 'kamui' dimension...but to be frank, the thought of entire bloody dimensions winking in and out of existence as a pair of eyes does is kinda dumb, no offense intended.
This line of thought is further supported mainly by three facts. First off if kamui was some kinda pocket dimension or whatever with the link being your eyes, then while intangibility might in some weird twisted way work, teleporting wouldn't, you'd be able to enter and come out only at the exact same spot, kinda like jumping into your own pant pocket and coming out. You might be gone, but your pants wouldn't be going anywhere, so you'd come back out right where you went in. Obito being able to go in at one point and exit at another kills this possibility.
The other one is the intangibility. Going by the thought of dimensions having tangible 'distance' of some sort between each other, then the fact that kamui intangibility works by temporarily kind of phasing out an overlapped part of you, so enough of it is in 'kamui' not to get hit yet it isn't completely there not to just get torn off your body and kill you...would mean the 'kamui' dimension would have to be close, very close. Otherwise even if you could still somehow phase out a piece without tearing it off the chakra drain would be stupendous, or then the piece would just get torn off and you'd have effectively committed suicide.
Last detail is the aforementioned ability to "synchro" with other space time stuff, such as Kaguya's portal thing. Quite a simple one here; If kamui was just your own pocket dimension or whatever, then the ability to synchro (or make a wormhole at range at that) would make no sense because the ability you have isn't a space-time portal, its just the ability to go in and out of your own pocket. However, if you drop that, leave the dimension just some nameless largely empty barren place closest to the planet naruto happens on....and instead, consider 'kamui' to be the wormhole like technique to bridge the gap between dimensions, then it suddenly starts making an awful lot more of sense.
Ultimately that's just my own, largely logic based opinion though. If ya'll want to keep taking wiki literally and having your own endlessly spawning pockets, then feel free, you do you and I'll do myself.