When previewing a report the report is executed in the context of the standalone Report Designer and as described in MSDN, the ConfigurationManager.ConnectionStrings property "gets the ConnectionStringsSection data for the current application's default configuration". Generally in case of standalone Report Designer this is Telerik.ReportDesigner.exe.config.
It seems that because you have used a custom data access layer (DAL) to access your database data and your DAL is not able to read the ConfigurationManager.ConnectionStrings. In order to avoid the error our suggestion is to add the configuration in Telerik.ReportDesigner.exe.config
Generally to debug your data access layer while you are using the designer you have to open a Visual Studio instance, select Debug->Attach to process to debug the Telerik.ReportDesigner.exe and select Debug->Exception... to enable the First Chance Exceptions.
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