Windows Firewall will require an exception to be created for the SQL Server instance hosting the Capacity Database. Assuming that SQL Server is installed to C:\program files\Microsoft SQL Server, you need to add the appropriate program to the Firewall exceptions list on the Capacity Database Host.
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For a SQL Server 2016 Named Instance, add:
D:\Program Files\Microsoft SQL Server\MSSQL13.xMSSQL\Binn\sqlservr.exe
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For a SQL Server 2017 Named Instance, add:
D:\Program Files\Microsoft SQL Server\MSSQL14.xMSSQL\Binn\sqlservr.exe
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For a SQL Server 2019 Named Instance, add:
D:\Program Files\Microsoft SQL Server\MSSQL15.xMSSQL\Binn\sqlservr.exe
Note: Each SQL Server instance is made up of a distinct set of services with specific settings for collations and other options. The directory structure, registry structure, and service names all reflect the specific instance ID of the instance created during SQL Server Setup. x is the instance ID of the SQL Server instance that is created during SQL Server Setup.
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You may also need to explicitly add the UDP Port 1434 to the Firewall Exceptions, if you continue to have connectivity issues after adding the correct SQLServer.EXE Program Exception to the Firewall List.
For further information see https://msdn.microsoft.com/en-us/library/ms175043.aspx