My default database name is EDW_BDM but I'm trying to create this one view in a different database FI_DM_EBI.
sqlserver.sql:
{{ config(database='FI_DM_EBI') }}
SELECT
'a' AS col1,
'b' AS col2
dbt run prints START view model FI_DM_EBI.dbo.sqlserver and dbt docs show below database structure:

However, the view still gets created in EDW_BDM. Looking at debug output, the connection string used is the default one that has the database EDW_BDM.
The same thing happens when changing the database name in dbt_project.yml:
models:
hopedw:
example:
database: FI_DM_EBI
Please add support for changing the database.