Windows Server

It is always depends on how exactly you will use it... what database size and what will be the amount of the operations etc... But - for the absolute majority of the use cases I would suggest using the RDS. It is more economical and will provide more stable results - if you install MSSQL on your own instance - you will have to care about all necessities yourself.

It is much simpler in terms of maintenance costs to use AWS RDS and not worry about maintaining a server. Moreover, if you use a server you will need to handle firewalls and ports. Programming with RDS is much simpler using common MySQL or PostgreSQL libraries. In a similar situation using PHP from a local environment, I found repeatedly that using RDS is simpler and more cost effective.

My first foray into programming was with powershell and it continues to be an enormous help for me in my career (caveat being that I have primarily worked on windows boxes). That being said, PowerShell is a weird language that has some unique syntax and operators that don't translate well to other languages. Python is weird too, but for other reasons (spacing!). I suspect you'll get more immediate benefit spending some time on Powershell since your working in an environment that fully supports the ps toolset.

As for learning, I read "PowerShell Toolmaking in a Month of Lunches" and found that helpful. However, I think your course of study is sufficient. Think the most return for the effort was just messing around in the powershell IDE on my local computer and working the Microsoft documentation.

Taking courses on Udemy and YouTube will be helpful I'm sure, but don't neglect the power of practice. If you work largely with Windows right now, pick powershell. Take opportunities to convert the knowledge you already have (example: unlocking an account in Active Directory or adding an email alias in Exchange) from a manual process to a powershell method. Sometimes that's a single cmdlet (Unlock-AdAccount) and sometimes it's a script.

Once you have a good understanding of variables, the pipeline, and foreach loops, you'll be in a position to accelerate your learning. Looking up Microsoft docs is part of the process :)