When you install RAD Studio 10.4 (or 10.4.1) or Delphi or C++Builder, there is an error in the installation script that causes a configuration file to be missing. The lack of this file, that the IDE expects, causes a few errors reported for example as:
RSP-29199: Error on ConnectionName selection in TSQLConnection
RSP-30831: Error in dbxconnections
In practice, if you use the dbExpress section of the Database Explorer to create a new connection, you end up with an access violation in the IDE:
Instead, if you try to select a connecting in the SQLConnection component, you'll see the proper error message:
The issue is caused by the fact in the the installer leaves separate, partial configuration files (dbxconnections.win.x files) in the C:\Users\Public\Documents\Embarcadero\Studio\dbExpress\21.0 folder rather than merging them in a single dbxconnections.ini file. The ideal solution is to merge them manually in a new dbxconnections.ini file, but you can also just create a new empty dbxconnections.ini file or use one from a previous version of RAD Studio.
As soon as you add that file (and restart RAD Studio), the IDE will behave correctly and your new connections will be added to the ini file.
Notice also that the dbExpress library (or DBX) is formally deprecated and not maintained any more, which is why we missed this configuration issue. The recommendation is to migrate from it to FireDAC (see this RAD Studio docWiki page) or some other database access library.