Qlik Sense provides Direct Discovery feature which supports live data connection to databases. You can have a look at the following example https://www.youtube.com/watch?v=AvLRCgA9vMU. It's Direct Discovery with Teradata, however the concepts should be the same for SQL Server.
However, to my knowledge Direct Discovery feature has certain limitations and does not get any further development/ bug fix by Qlik, as warned in Qlik help site https://help.qlik.com/en-US/sense/September2019/Subsystems/Hub/Content/Sense_Hub/DirectDiscovery/acc....
Qlik Sense and other BI platforms in general are more suited for batch processing and not data streaming. If you have to query live data because data volume is too large, consider On-Demand App Generation (ODAG) feature of Qlik Sense instead.
Hope this helps,
BR,
Vu Nguyen
