I would recommend starting with trying to access the SOAP connector from Postman or another API testing tool to verify that your understanding of how to invoke the service application is correct.
Once you have verified in a third-party tool what is needed to get the required result from the service application, then seek to replicate that configuration into Pega.
Run the Tracer in Pega whilst performing the SOAP call, and if it continutes to fail, open the snapshot of the Step Page on the "Step End" event of the Connect-SOAP call. More details about the error may be written to the response portion of this Connect-SOAP step page. An HTTP code of 401 suggests an authentication issue; HTTP 403 suggests you are authenticating okay but that the user you authenticate with is not authorized to perform the operation.