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Created attachment 161943 [details] screenshot
Upon a fresh start of the IDE, the "New Entity Classes from Database" list the available data sources, as expected. But upon reopening the dialog, the data sources list contains only the item "Fetch from server...", and upon selecting that item, a "Select deployment server" dialog pops up. This cannot be right.
You need to add an application server for projects applications server. If you set an application server in project settings it will continue.