Has the SQL Server database been successfully added as the data source?
Please refer to "Use the Data Connection Wizard to import data into Visio", check whether you could import data from SQL Server into Visio via using Windows Authentication.
Is the SQL Server database local or remote?
Please check whether this article "Task Scheduler Error “A specified logon session does not exist”" (Disabled "Do not allow storage of passwords and credentials for network authentication" policy) is helpful.
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