Is possible show data into Datagrid without using Entity but from a query or view of SqlServer ?
yes it is possible. The easiest way to do is to create an entity which has the correct attributes and set the Table name to the corresponding view name of your DB.
Studio has support for creating an entity from a existing view. Check out: http://files.cuba-platform.com/cuba/release-notes/6.6/#_mapping_database_views
Using a dataGrid without a view (or at least a domain model with a proper JPQL) is a little harder. I did that once in this application component: https://github.com/mariodavid/cuba-component-runtime-diagnose. You can take a look at the implementation of the SQL console if you are interested.
The implementation worked, but it is a little bit more effort.