Large-scale multi-building and multi-floor indoor localization has recently been the focus of intense research in indoor localization based on Wi-Fi fingerprinting. Although significant progress has been made in developing indoor localization algorithms, few studies are dedicated to the critical issues of using existing and constructing new Wi-Fi fingerprint databases, especially for large-scale multi-building and multi-floor indoor localization. In this paper, we first identify the challenges in using and constructing Wi-Fi fingerprint databases for largescale multi-building and multi-floor indoor localization and then provide our recommendations for those challenges based on a case study of the UJIIndoorLoc database, which is the most popular, publicly-available Wi-Fi fingerprint multi-building and multi-floor database. Through the case study, we investigate its statistical characteristics with a focus on the three aspects of (1) the properties of detected wireless access points, (2) the number, distribution, and quality of labels, and (3) the composition of the database records, and then identify potential issues and ways to address them in using the UJIIndoorLoc database. Based on the results from the case study, we not only provide valuable insights on the use of existing databases but also give important directions for the design and construction of new databases for large-scale multi-building and multi-floor indoor localization in the future.