In the newest bukkit builds (#271+ I believe?) multiworld support has been enabled. However, WorldEdit/WorldGuard does not differentiate between what world your selections are in. Regions made with worldguard span all worlds that your server has. So if you create a town in worlda, then move to worldb and move to the same area protected in worlda it will apply the same permissions and state that you cannot build there despite there never having been a region created there.

Additionally if you mark the first point of a region in worlda and then move to worldb and mark the second point of a region it will accept this as a valid input and create a region out of this selection that will behave exactly as above.

Also, Ghasts can destroy blocks when they shoot their fireballs even with creeper damage disabled.

WorldEdit has supported different worlds from the beginning. Selections are not per-world though, as you have noticed (they are per the world you are in, so they are contextual).

WorldGuard, on the other hand, hasn't been able to due to historically missing features in Bukkit. I'll fix it next update.