Solution
Data Connection Manager (DCM) is a centralised storage for Database and Cloud interoperable connections (credentials linked to data sources) that facilitates workflow connection management and collaboration across Alteryx products, more information. If DCM is enabled, you will need to take a few more steps to create a new project or upload data via the integration tools otherwise you will not be able to run your workflow to completion. In order to finish set up with the integration tools and DCM please refer to this documentation more specifically the Combine the Data Source with the Credential to Create a Connection and Select a Data Source in Connection Manager sections.
You can check whether DCM is enabled for you by navigating to Options>User Settings>Edit User Settings>DCM
Note: This only applies if you have DCM set up in your Alteryx Designer.