The Datadog integration relies on features in the Mendix Cloud Foundry buildpack, which is used:
Here are the setup instructions in the CF buildpack (which also apply for Docker): https://github.com/mendix/cf-mendix-buildpack#datadog
So, you should be able to use Datadog if you’re running one of the buildpacks in your environment. If you’re running a pure on-premise configuration on Windows or Linux, I think you’ll need to treat the Mendix app like a Java application and integrate Datadog yourself.