Of course MapWindow needs the ability to connect with geodatabases.
GDAL has native support for PostGIS and SpatiaLite and I believe they can also connect with Oracle and MS-SQL if you recompile GDAL with different settings.
GDAL is also working on implementing the just recently available API to connect with ESRI Geodatabases and they already support ESRI ArcSDE.
So we can enable gdb support through GDAL in the ocx or use a plug-in like Poom did (http://sites.google.com/site/almanacsoft/dataclient).
I have a feeling using GDAL and the OCX will perform better, but I'm not sure.