If an ISE connector is available then you can access to system/ data source without OPDG when you are using ISE. You can find the list of supported ISE connecter here.
As mentioned in the supported ISE connector if you need to access SQL Server from an ISE and use Windows authentication, you must use the connector's non-ISE version and the on-premises data gateway. The connector's ISE version doesn't support Windows authentication.
For other Azure AD Authentication and SQL Server Authenticate, you can read the prerequisites and follow this article for configuration.
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