Hypothetically, you could convince some dwarves to follow you to a new fortress site. Somehow Toady makes a system for controlling them like in fortress mode, and something else that lets you stake out some territory for your new fortress. With a few more features, you could build a fortress exactly the same way, without leaving adventure mode. Maybe you could even abandon it, adventure, and come back home later (and see what the stupid migrants broke this time).
Plus I think it would be neat to actually talk to the dwarves you want to come along with you at the start, maybe even get some that were your dwarves in previous fortresses. Maybe the legendaries would be too haughty. Plus you'd have to buy stuff from whatever stores you can find, instead of having a selection from your homefortress's entire wealth.
And when the fortress is built, dwarves would beg to join you like before. It would be a glorious rags-to-riches tale of epic dwarven-ness.
Blurring the distinction between the two game-types would be great, I think. Fortress mode contributes a lot to adventure mode, but the fame you earn in adventure mode only gives rise to legends, when it could do more.
Maybe it's too much of a burden to write in? I dunno, it's not part of Toady's vision and might not be worthwhile to add some little annoying parts to the game. I mean, this could just be roleplay and not gameplay.