The CDP Server provides a new field when adding/editing a MySQL Instance:
Use custom MySQL data directory path.
*MySQL Data Directory
Simply plug in the full path to your MySQL Data Directory.
You would enter something like /vz/customer1/var/mysql/data/dir.
Note: The Agent runs in the physical server. You can not connect via localhost for your MySQL connection. The MySQL instance in VPS needs to accept connections on one (1) of the VPS IPs. You also need to have a User login to the VPS MySQL Instance (probably MySQL root) that has global permissions on all databases and tables.