Thank you for writing.
You can follow various approaches to connect to your SQL server instance and fetch the data from it locally. Then you can bind the pivot`s data provider to a DataTable or even the entire DataSet. RadPivotGrid
also supports the IQueryable interface so if needed you can also use EntityFramework the QueryableDataProvider
Please check the following section of the documentation providing detailed information and examples: http://docs.telerik.com/devtools/winforms/pivotgrid/populating-with-data/design-time-data-binding
I hope this helps. Should you have further questions please do not hesitate to write back.