WORKAROUND #1:
Change the authentication from the caching_sha2_password method to the sha256_password method.
WORKAROUND #2:
1) Install a MySQL v8.0 ODBC driver, which can be downloaded
here.
2) Create a User or System DSN in the Windows ODBC Driver Manager window with MySQL v8.0 ODBC driver.
3) Create a new connection in TDP, to connect to your MySQL database, using the 'ODBC Generic Connection' option, instead of MySQL. Use the DSN you created when setting up this ODBC Generic connection.
4) Connect with the ODBC Generic connection, instead of with your MySQL connection, and you will be able to run the Cross Connection query.
STATUS:
Waiting for a fix to be released in a future version of Toad Data Point.