An OpenWGA domain is an entity which collects a number of OpenWGA applications and data sources to provides some shared functionality to them. Most prominently all apps and data sources in a domain share the same Authentication configuration. Other functionality that may be shared is a global Personalisation database for all apps of a domain.
Every OpenWGA application and data source is contained in a domain. Each OpenWGA installation comes with a single domain named "default" preconfigured. Applications and databases are members of this default domain unless otherwise configured.
The OpenWGA domain should be seen as a tool to manage multi-tenancy in a single OpenWGA installation. The functionalities shared by a domain are those that need to be shared across all databases for a single tenant. So for every single tenant you should have a specific domain.
As many OpenWGA installations do not need multi-tenancy support there is no need to have multiple domains. A single domain "default", as comes preconfigured, is sufficient if all apps and data sources should share the same authentication.