Under section 3.2 "Installing the agent plug-in" (Linux), the instructions state:
Download the file and place it on the Linux host in the ~/usr/lib/check_mk_agent/plugins/mk-sql/ directory.
There are no subdirectories allowed in the plugin folders. So placing the binary to
/usr/lib/check_mk_agent/plugins/mk-sql/mk-sql
will not work. The binary has to be
/usr/lib/check_mk_agent/plugins/mk-sql
Please see forum topic: https://forum.checkmk.com/t/mssql-in-docker-on-linux/54954