You can use PHP’s PDO configured with MSSQL drivers to access data in a MSSQL database. Or you can use ADODB if you really want to, though the overhead with something like this will be much larger. Regardless, since MODx allows PHP scripts as snippets, anything is possible. Just be aware that accessing multiple databases means more overhead (multiple connections) and less performance if that is an issue...
It’s overhead and less performance, but at least is what we can do with our client’s data. For now we will use MSSQL, we will force them to migrate to MySQL in the future. 