Part of the excitement for me is quite simply that such connections make it easier to remember things. I have a particular love of 16th century European history - in England, in France, in the Netherlands, in the Osman Empire, in the newly discovered lands of America, Asia and Africa - and it's always both fun and mnemonically useful to discover ties between them. Like, say, the realization that the young Duke d'Alençon from the French royal house (and of course from Dumas' Reine Margot) is the same person as that French suitor for Queen Elizabeth, and additionally was offered the throne of a Belgium that never manifested at one point. Or how William the Silent, the big Dutch hero of the Eighty Years War, was married to a daughter of Coligny, once again of Reine Margot fame. In a way it all makes sense as nobility and royalty married foreigners all the time, and there were only so many notable candidates to go around, but still connections like those create ties between various national histories that most people, like you said, tend to compartmentalize.

So, well, I don't know as much about the 17th century (or it'd have to be France), but I entirely get the "rush" you describe.

The book as a whole sounds interesting, though I don't have a particular interest in the Rosicrucians, and I don't imagine I'd appreciate the more literary-theory-inspired aspects as much.