I am trying the WEB Core components with data for the first time.

I have a successful connection to MSSQL in development but during compile application cannot find any of the FIREDAC units. Library path is OK and VCL applications work fine.
What am I missing?

You cannot directly use FireDac from a TMS WEB Core client running in the browser. Doing so would imply a huge security issue. 
The "modern web application architecture" as also used in Angular, vue.js, React, is typically that the database data is provided over a REST API to the web client application.
Tools such as TMS XData, Embarcadero RAD server, MARS curiosity, ... typically offer this capability to build a REST server backend for the TMS WEB Core web client application.