Enterprise Row Level Security in SQL Server and Power BI

Any reason why the first half of this presentation's sound is muted?

Hello there, god bless your efforts.
I have a simple enquiry as a newbie sql learner.
I have installed sql management studio on my own pc, but i am still afraid to connect to the sql instance of a server machine.
Is there any possible connection issues that i may face while connecting to the instance? What are the security measures that should be held
and how to ensure that the server database would not be accidentally damaged when connecting to the server?