Reason for that is that Mendix is built with the intention to not have the need to access the database.
Access to the database does not even require you to connect to any database at all. You can create an entity and start the application, then Mendix will prompt you to generate a database and start the app. The generated database will be visible in the built in databaseviewer, that you can start from the Modeler's Console. Quite nice.
if you want to connect to a database, you can add the neccesary connection-data in Project->Settings->Configuration. Doubleclick your configuration and click tab Server.
If you want to view the content of the database, which can be useful in several scenario's, then you will need an external viewer like pgAdmin, Dbeaver or any other of your choice.
It depends on what you are trying to achieve. Like Tim mentioned, you wouldn't usually need to login to the DB to perform any operations as this is handled by Mendix framework.
However, if you want to use a connection to a SQL server from within a microflow, you should be able to use this add-on:
Hope this helps!
You should use the Mendix way to handle data in the database. There are some helpful learning paths in the academy section to understand the concept.