The message:
No data sources are configured to run this SQL and provide advanced code assistance.
is a little explicit and IMHO a little unnecessary, because I really think that I don’t need to configure a database for every project in which we have some SQL queries.
To handle this message, you have two options:
- Configure a Data Source to your project, using the ALT + ENTER above the message and using the option Configure a Data Source:

or
- Disable this SQL dialect detection inspection on the Inspection options on the IDE settings:

You may need to disable as well No data sources configured inspection on:
Inspections -> SQL -> No data sources configured
The second option is the best approach for me unless you really want or need a Data Source in your project.