Hey I just found the reason that connecting to the data sources published to Tableau server doesn't allow me to change the data type. But I just want to know the reason regarding why the option is not available for the datasources published to Server and connecting them directly via Tableau desktop.
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The reason that connecting directly to the data source from the data server does not allow the option to change the data type is because once the publishers publishes the data source it should not be able to be edited. One way around this would be to create a calculated field of the desired field that should be changed and use one of the data type functions to force it to be the desired data type.
Hope this helps!