Yeah, it would of been very interesting and beneficial to the Empire in my opinion. However, federations aren't easy things to engineer - they require intense politiking that just didn't happen in our TL. One related argument that I have heard is that a stronger Commonwealth could of even be formed after WW2: after the war, Britain had to seriously revise their foreign policy. Would they be more American? More European? Or rely on the Commonwealth? America was a given - we did lend them tons of money and weaponry and the British populace held a high general opinion of America. However, Britain later would try to immerse itself in Europe, only to largely fail. Some say that they should of focused on some sort of Commonwealth union instead.
All in all, though, I think the best time period for a federalized Empire would be in the late 1800s to early 1900s (WW1 at the latest.) It would of been a natural evolution of the British Empire.