Microsoft SQL 2016 database for Malwarebytes Endpoint Protection
If the application required a user name and a password, that means it attempts to connect using SQL Authentication and not using Windows AD authentication. 

By default, SQL Server allows only for Windows Authentication, so you you need to enable the "mixed authentication" mode for SQL server. It can be enabled when installing, but if you used the defaults, see this article on how to change the server authentication mode.

Also make sure that the user you are creating on the SQL Server is a SQL login and not a windows login. It should be:

CREATE LOGIN &lt;login_name&gt; WITH PASSWORD = 'Password'


and not 

CREATE LOGIN [&lt;domainName&gt;\&lt;login_name&gt;] FROM WINDOWS


HTH