The reason your two containers of water don't reach equilibrium is because of the wall - the containers are not allowed to exchange particles even though they have different chemical potentials. For this to work as an analogy to temperature, you would have to have the two systems thermally isolated from each other so they could not exchange energy.
Stongly correlated systems have been studied quite a bit experimentally. If they didn't reach thermal equilibrium with their environment, I would think this would have been noticed, as it would have huge implications.
There are interactions which break stat mech; specifically, a long range interaction like gravity is problematic for stat mech because the potential energy from it is not extensive. But for systems of charges, as long as the system has no net charge, then the electric interaction is not enough to break extensivity.
There are certainly systems which exhibit long range correlations that are treated just fine with stat mech. Take a ferromagnet, for instance. Certainly some care has to be taken when interpreting what the ground state and low-lying excitations are, but that does not mean stat mech is useless in this case. A magnet certainly reaches thermal equilibrium with its environment.
A diatomic molecule has very strong interactions between the two atoms that form the molecule. Yet in spite of the strong interaction, stat mech applies very well to a diatomic gas.
So I don't understand why you think thermal equilibrium wouldn't apply to strongly correlated systems? Strong correlation doesn't mean strong interactions... by "strong interaction" I mean that the potential energy of the interactions is overwhelming. Strong correlation means (rougly speaking) that the energy scales of different types of energy come in at about the same energy scale, so that different types of order or disorder can end up competing. This is why phase diagrams for strongly correlated systems can be quite rich, because minor changes in pressure or concentration affect which phase "wins" (see the phase diagram for Pu, for instance).