By using a single tool like PowerShell, you can access your data wherever it is stored. It does not matter if it is in the cloud in an Azure SQL database or in an on-premises MS-SQL server, MySQL or ...

No surprise there, SharePoint uses impersonation and the web server is on a different server than the database server.

You will fail to connect to your database if the SQL Server service is not running.

We have our SQL server configured to only allow Windows accounts (i.e. not mixed). However, in some cases we are connecting from non-domain boxes and we want to specify a domain account to connect ...