Product:
Cognos Controller 10.4.2
Microsoft Windows 2016 server
Microsoft SQL 2019 database

Problem:
When try to connect to the database with the DBCONV tool you get a error. The data connection test inside Controller Configuration worked fine.
ERROR: com.microsoft.sqlserver.jdbc.SQLServerException:
Login failed for user ‘cognos’.
ClientConnectionId:ca120094-…

Solution:
The SQL login has a period in the password. Please use only Letters and numbers in the password used for Cognos Controller.

Go into Microsoft SQL Management studio.
Select the SQL login used for the controller database.
Change the password to a simpler one.
Update the password in Controller Configuration.
Test and save again.
Click on the icon to convert the database.
Click on connect.
Click on upgrade.

More information:
https://www.ibm.com/support/pages/how-migrate-upgrade-upsize-existing-database-new-later-version-controller