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The IN-Database connectors are advantageous for massive database systems where moving data across the network to process it would be very time consuming. Why not take advantage of your large database cluster to do the processing- that's what it was designed for!
MS Access is a bit different in that it's not really a database- it's basically local files, so there's nothing to be done 'in database' - you just need to read the files in, and for that a standard Input tool should work fine.
If you want to have Alteryx help you write the query against multiple tables in your MS Access file, then try using the 'Visual Query Builder' option when connecting to it within the standard input tool.