Grafana with ProxySQL - Alert connection refused

Grafana version: 7.3.7

I have set up a MySQL datasource using a proxysql instance. Panels on dashboard are working well so far. But we have some trouble with alerts on panels. It alternates between pending and ok:

We only see this error in the alert overview list:

Execution Error: tsdb.HandleRequest() response error &{dial tcp connect: connection refused A 0xc00072b2f0 [] [] []}

I am unable to find any information about in grafana.log.
In general, is a ProxySQL instance supported as datasource? May updating Grafana worth it?

If I change back to directly accessing the mysql server, all works fine. I just wonder why the alerts should have an issue with ProxySQL while panels could get their data without problems.

Best regards,