When i think about the setup with the cables... connecting a second board this way would mean that the power would flow completely through the first board until it goes to the second one.
No, it doesn't flow through the entire PCB and its power conveter circuits. It will flow just through the PCB traces between the PCI-E connector and the green power connector. As burnin states, these few cm of traces between those 2 connectors are rated for the current of 2 boards (1 non-overclocked board about 40W, so the traces are rated probably for 80-100 W at 12V, which would mean 6-7 A).