Are you sure in the Sensor properties for this collector you entered the right usename and password ?

Second option, what version of the jdbc drivers you using and do you know what port the instance of SQL is listening ? Could you add the port in the url ?

jdbc:sqlserver://SQL_SERVER:1433;DatabaseName=SEM5

When SEP is set up it creates a user named sem5, and only this user by default has permissions to access SEP database. Even sa account has no read rights over this database by default (I beleive you set it up with MS SQL Server).

You need to either configure a collector to use sem5 account or create a read-only user and grant it read permissions over SEP database (sem5).

Below I pasted actions needed from SEP Collector PDF:

To create a read-only database user for Microsoft SQL Server
1 From the Windows Start menu, choose Run, and then type the following
command:
   cmd
2 Navigate to the directory that contains the OSQL.EXE file.
For Microsoft SQL Server 2008, the default directory location for this file is
C:\Program Files\Microsoft SQL Server\100\Tools\Binn
For Microsoft SQL Server 2005, the default directory location for this file is
C:\Program Files\Microsoft SQL Server\90\Tools\Binn.
For Microsoft SQL Server 2000, the default directory location for this file is
C:\Program Files\Microsoft SQL Server\80\Tools\Binn.

3 Log in as the system administrator user. Type the following command, and
then at the Password prompt, type the system administrator password:
osql -U sa

4 At the command prompt, type the following commands:
For Microsoft SQL Server 2000 or Microsoft SQL Server 2000 Desktop Engine
(MSDE):
EXEC sp_addlogin 'account_name', 'password', database_name'
USE database_name
EXEC sp_grantdbaccess 'account_name'
EXEC sp_addrolemember 'db_datareader', 'account_name'
GRANT SELECT ON SEM_COMPUTER to 'account_name';
GRANT SELECT ON V_AGENT_BEHAVIOR_LOG to 'account_name';
GRANT SELECT ON IDENTITY_MAP to 'account_name';
GRANT SELECT ON V_AGENT_PACKET_LOG to 'account_name';
GRANT SELECT ON V_AGENT_SECURITY_LOG to 'account_name';
GRANT SELECT ON V_AGENT_TRAFFIC_LOG to 'account_name';
GRANT SELECT ON V_AGENT_SYSTEM_LOG to 'account_name';
GRANT SELECT ON V_ENFORCER_CLIENT_LOG to 'account_name';
GRANT SELECT ON V_ENFORCER_SYSTEM_LOG to 'account_name';
GRANT SELECT ON V_ENFORCER_TRAFFIC_LOG to 'account_name';
GRANT SELECT ON V_SERVER_ADMIN_LOG to 'account_name';
GRANT SELECT ON V_SERVER_SYSTEM_LOG to 'account_name';
GRANT SELECT ON V_SERVER_CLIENT_LOG to 'account_name';
GRANT SELECT ON V_SERVER_ENFORCER_LOG to 'account_name';
GRANT SELECT ON V_SERVER_POLICY_LOG to 'account_name';
GRANT SELECT ON V_LAN_DEVICE_DETECTED to 'account_name';
GRANT SELECT ON V_ALERTS to 'account_name';
GRANT SELECT ON VIRUS to 'account_name';
GRANT SELECT ON V_SEM_COMPUTER to 'account_name';
GRANT SELECT ON SEM_AGENT to 'account_name';
GRANT SELECT ON PATTERN to 'account_name';
go

For Microsoft SQL Server 2005 and Microsoft SQL Server 2008:
EXEC sp_addlogin 'account_name', 'password', 'database_name'
USE database_name
CREATE USER 'account_name' FOR LOGIN 'account_name'
EXEC sp_addrolemember 'db_datareader', 'account_name'
GRANT SELECT ON SEM_COMPUTER to 'account_name';
GRANT SELECT ON V_AGENT_BEHAVIOR_LOG to 'account_name';
GRANT SELECT ON IDENTITY_MAP to 'account_name';
GRANT SELECT ON V_AGENT_PACKET_LOG to 'account_name';
GRANT SELECT ON V_AGENT_SECURITY_LOG to 'account_name';
GRANT SELECT ON V_AGENT_TRAFFIC_LOG to 'account_name';
GRANT SELECT ON V_AGENT_SYSTEM_LOG to 'account_name';
GRANT SELECT ON V_ENFORCER_CLIENT_LOG to 'account_name';
GRANT SELECT ON V_ENFORCER_SYSTEM_LOG to 'account_name';
GRANT SELECT ON V_ENFORCER_TRAFFIC_LOG to 'account_name';
GRANT SELECT ON V_SERVER_ADMIN_LOG to 'account_name';
GRANT SELECT ON V_SERVER_SYSTEM_LOG to 'account_name';
GRANT SELECT ON V_SERVER_CLIENT_LOG to 'account_name';
GRANT SELECT ON V_SERVER_ENFORCER_LOG to 'account_name';
GRANT SELECT ON V_SERVER_POLICY_LOG to 'account_name';
GRANT SELECT ON V_LAN_DEVICE_DETECTED to 'account_name';
GRANT SELECT ON V_ALERTS to 'account_name';
GRANT SELECT ON VIRUS to 'account_name';
GRANT SELECT ON V_SEM_COMPUTER to 'account_name';
GRANT SELECT ON SEM_AGENT to 'account_name';
GRANT SELECT ON PATTERN to 'account_name';
go
quit

Would you have the full log file of the collector?

I checked with our DBA and the issue looks to be on their side. I'm not a SQL guy so I won't try to even repeat what I was told but I'll report back once the issue is fixed.