When you open Project Configuration > Database instances > SQL Data warehouses, two types of database instances are listed; ones which are in bold-face, and others which are not.

Database Instances which appear in bold indicate that there is at least one object dependent on this Database Instance. For example, logical tables, Free Form SQL reports, or Query Builder reports. Database Instances which appear in bold are always checked and they cannot be unchecked as there is some object in the project still dependent on the database instance.