Every time you attach to a database there is load on the probe and the database which is a problem when you have hundreds of databases each with 10-15 sensors.
I would like to see PRTG open one connection to the database and run the sql for all sensors under the database device. This would dramatically reduce CPU on the probe and hits on the database.
Even better yet would be an option that allows you to have a pooled connection that allows prtg to use the same open connection to query the database and re-open it if it is closed.