You can, but there are two things you should keep in mind when doing so:
Private Data Warehouse (PDW) is already set up to be directly queried with tools like SQL Workbench. Part of the appeal of PDW is that you can layer any tool compatible with Redshift on top of your data warehouse. Additionally, those tools may offer more flexibility than what the SQL Report Builder provides.
Queries are only run on your Magento BI data warehouse, not the server where your PDW resides.