In a scenario where a Windows agent is registered to a CCS Manager, and then the agent is registered back to CCS so a Windows Machine asset is also created.  Any data collection or CER jobs for this asset will be performed using the agent.

If an SQL Server asset is then added manually and the appropriate SQL credentials are added in CCS, an SQL data collection job will not be processed using the agent and will be run agentlessly.

CCS 12.5.x

CCS 12.6.x

If the SQL Server asset is added manually (not imported by an Import Asset job), there would be no association link created between the SQL Server asset and the Windows agent. In this situation, an SQL data collection job will not be run in the context of the agent and will effectively try to run in agentless mode. So, the job will not use the agent as expected and will fail, unless the Windows asset credentials exist, which are required for agentless mode.
 
However, if the SQL Server asset is instead imported in the CCS Console with the scope set to the Network and referencing the server with the CCS agent (selecting the Windows asset where the SQL server resides), then a relationship link is made between the SQL Server asset and the Windows agent. In this case, an SQL data collection job will use the Windows agent for data collection. 
 
In summary, if it is desired to use an agent for SQL data collection, then the SQL Server asset must be imported from the network as described, rather than simply manually added.