Hi,
DB Connect is indeed for certified databases. I am not sure if MySQL is supported.
Please refer to SAP Help and SAP Note 512739 - BW external DB Connect for MS SQLServer.
UD Connect is according to me an option. Please refer to SAP Help and the discussion Problems with UD Connect to a MySQL database.
As an alternative you could also consider using BusinessObjects Data Services (BODS) as ETL tool.
Best regards,
Sander