The SQL Server connector does not currently support MFA, which means it's not possible to connect to another company's database if the company only allows this way of authenticating.
There are only four options for the Authentication Type in Power Apps, as opposed to SSMS which has an extra option of Azure Active Directory - Universal MFA.
Although it is possible to create a connection, there is no MFA challenge, and using the connection just gives a The tables didn't load error.
Power BI does seem to have a way of overcoming this. When setting up the connection for the first time in Power BI, the user must authenticate and after this the connection can be used thereafter. So it would be great if something similar could be done in Power Apps.