Hi Mateo,
Thank you for your question. The error you are referring to is not related to the Database connection - it's about the connection between Studio and the target device.
I recommend you start with simple examples 0404-01 MySQL Simple Export and 0404-02 MySQL Simple Import.
The most tricky part is remote access to the Database which is forbidden by default. Have a look at this tutorial: https://webdock.io/en/docs/how-guides/database-guides/remote-access-your-mariadb-mysql-database-ubuntu-focal-mariadb-v106
First, you can try to run the Database on the same target as the REXYGEN is running. Send data locally from REXYGEN to MySQL DB should be done without any issues.
Let me know if it helped.
Cheers, Tomas