Hi Spiltrock,
PivotTables connected directly to external data sources ARE supported, but not a fully as in Excel for Windows.
Office for Mac comes with an ODBC Driver for SQL Server, but if you want to connect to any other kind of data source you'll need to purchase an ODBC driver. I strongly recommend getting your driver from either of the following two companies. I have used drivers from both companies and have received superb support from both of them.
OpenLink
Actual Technologies
You can use standard data tables as data sources, but not OLAP cubes.