No, you would need to set the database hostname as the server that it's on at UmbHost.
You can find this by going to the SQL Databases area within your My.UmbHost account.
'localhost' generally means the MySQL databases are hosted on the same server as the websites, which is quite common in the web hosting industry with hosts that have a 'single-server' approach where all services run from the same machine.
It's different at UmbHost as we split all services and have a strict 'one server, one rule' policy.
At the UmbHost data centres, web traffic and MSSQL traffic are all different machines, so 'localhost' doesn't work.
