No need to say sorry - we all learn all the time!
Server Manager allows you to define one SQL Server server connection at a time. Data Library Manager allows you to set up a connection to one SQL Server database at a time - you are automating the creation of a single LIBNAME statement behind the scenes.
So you define a data source for each SQL Server database you want. Then in SQL when you write SQL referring to them, SAS will then process the entire query in SQL Server - in theory. If you want to be sure you can use SQL passthru, but that requires you to write your DSN in code.
Not sure what you mean by "IT restrictions". Pretty much anything you can set up in the ODBC Administrator (we are talking Windows only here) defining your DSN can also be done in Management Console or in SAS SQL CONNECT or LIBNAME statements. IT can't stop this happening via security restrictions, they can only say "you must use the ODBC Administrator DSNs". If that is the case then I don't know why they would do that as avoiding DSNs also avoids having to maintain ODBC Administrator definitions all the time - a major advantage in my view.
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