It is absolutely possible and exactly how connections between the different grids are done, e.g. between the power grids of North America or between the European grid and Russia.
HVDC of course has the disadvantage of extra conversion equipment. HV circuit breakers are also significantly more complex as an arc will form as long as current is flowing. With AC this happens at the zero automatically, nothing like this with DC.
Does not even need to be between countries for example east and west of Denmark are on two different grids which only recently got connected 10 years ago. (Large HVDC under the great belt) I am pretty sure the map on the site is "wrong" as Sjælland (Zealand) the large eastern island of Denmark is on the nordic grid, and so is Bornholm which nearly exclusivly gets it power from Sweden.
The map on Wikipedia is better, as it divides Denmark correctly, and also excludes several other large European islands that are not connected to the grid.
.png){kind=link}
HVDC of course has the disadvantage of extra conversion equipment. HV circuit breakers are also significantly more complex as an arc will form as long as current is flowing. With AC this happens at the zero automatically, nothing like this with DC.