The Manage Data Sources window allows to add a Layer as a data source and enter the URL for the feature layer. For example:
If you want to add data from your own ArcGIS Server, the data will need to be published as a map service. The URL to the map service will have to be publicly accessible for Report Builder to connect to it. Note that your services may need to be available over https depending on how your ArcGIS Online organisation is set up. You should connect directly to the number layer of interest rather than the higher level map service.
You will also need to ensure that any data sources that are coming from other servers have Cross-Origin Resource Sharing (CORS) enabled on them.
Secured ArcGIS Services
If your ArcGIS Server layers are secured using ArcGIS Server authentication then you may still be able to use them – see here for more information.