Unable to select SQL Authentication when creating Nintex Forms Database on SP2016 and SP2019
If you want to use the SQL Authentication when creating Nintex Forms Database on Nintex for SharePoint 2016 and 2019 please be aware that this is not supported. Yes, having the option to select (greyed out) SQL Authentication is confusing but be aware that this functionality was not part of SP2016 and 2019.
However, on SharePoint 2013 you can select SQL Authentication when creating Nintex Forms Database but this functionality was not available on SP 2016 and SP2019 due to security changes.
Add and edit configuration databases - SP2016
https://help.nintex.com/en-US/nintex2016/current/#sp2016/Workflow/NWAdministration/ManageConfigurationDatabase.htm?TocPath=Administer%2520%257CFarm%2520administration%257CFarm%2520setup%257CManage%2520databases%257CManage%2520configuration%2520databases%257C_____1
Add and edit configuration databases - SP2019
https://help.nintex.com/en-US/nintex2019/current/#sp2019/Workflow/NWAdministration/ManageConfigurationDatabase.htm?Highlight=Add%20and%20edit%20configuration%20databases

Thanks for your suggestion.
I will update this idea if there are any updates to share.
Cheers, Euan