unless you are backing up public folder db or unless you are snapvaulting your databases to a secondary volume, all you need to do is use one exchange server to open SME and connect to the DAG name.
You do everything from there.
>> When I run configuration wizard on the DAG object. I only can select the databases that are running on the server that homes the cluster resource
that's definetely not normal, you may want to check all user requirements as per the Administration guide: using same domain user on all nodes, local administrators group membership on all nodes, member of Organizational Management exchange security group if RBAC is not properly configured, etc...