Warehouse passthrough authentication and connection mapping are two features via which individual Strategy user or group access to the data warehouse can be controlled for different projects in Strategy Developer 9.4.x-10.x. Warehouse passthrough authentication is specified at the user level whereas connection mapping is specified at the project level, as shown:
Warehouse Passthrough

Connection Mapping:

How both these functionalities should work together is decided at the project level, by the settings specified under Project Configuration > Database Instances > Authentication > Warehouse:

Use warehouse pass-through credentials from User Editor > Authentication > 'Warehouse' for warehouse execution:
If this option is unchecked, warehouse passthrough will NOT be used for this project for any database instance.
If this option is checked, the next two radio buttons decide which database instances it will be applied for.
For all database instances:
Warehouse passthrough authentication will be applied for all database instances used in the project. If users do not have warehouse passthrough authentication specified, connection mapping will be used to determine the warehouse database login credentials.
For selected database instances (unselected database instances will use credentials from connection maps):
Warehouse passthrough authentication will be applied only to those database instances which are checked in the list. Again, users not having any warehouse passthrough authentication setup will be subject to any specific connection mapping.
For the remaining database instances which are unchecked, connection mapping will be used (if specified).