In gVim (on Windows) the setup code for the package manager Vundle uses the command set shellslash in _vimrc.
This setting messes up the formatting of the command being sent to SQLCMD by vim-dadbod. By adding set noshellslash further down in the .vimrc (_vimrc on Windows) vim-dadbod then works.
Many thanks to @filbranden who suggested that was the issue!
Facing same issue, uninstalling and reinstalling vim worked me
$ sudo apt update
$ sudo apt upgrade
$ sudo apt remove vim
$ sudo apt autoremove #removed old/stale dependencies
$ sudo apt install vim #new dependencies retrieved on clean intall