Here's a short answer for EG 4.2, and then a bit of a lecture.
In EG 4.2, you can administer capabilities based on user roles. With the SAS Metadata Server in place, you can turn off features in EG that you don't want users to access, including File->Open->From ODBC.
Now the lecture:
The best way to secure data, as any admin will probably tell you, is to lock it down at the file system and/or database level. If an end user knows how to get to a data source, and he/she has permissions or credentials to access it, then you'll always have a gap in securing it. EG (and other desktop tools) can't be relied upon to mask data access permissions; a motivated user will find a way to get to it.
"Security by obscurity": the practice of controlling access to data by hiding the route for how to find it. It can be useful to prevent end users from accidentally straying into your data, but it doesn't prevent the attack/malicious vector, where someone is motivated to gain access to "hidden" data.
Chris