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I also work with Oracle DB .
You can download as Tableau Workbook
After that go to the data-source and select Extract
But I guess more than that you need to make sure that if you are using right SQL query / right way to fetch data from MS Server.
I believe the problem is not with the connection but the query that you are running against the DB.
1) Are you making use of Custom SQL ?
2) OR....Are you pulling a big table to the view ?
3) If you are running the same query against the Data-source , how much time it is taking ? This is a good way to test if your query itself is having performance issues.
Best of luck !
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Thank you so much for the help!