Facing this with SonarQube for IDE version 4.35.1 and VSCode 1..106. Issuing the connect command manually via F1 leads to the same dialog as the OP.
The output log shows the following:
2025-11-17 12:59:12.303 [info] [Error - 12:59:12 PM] SonarLint Language Server client: couldn't create connection to server.
Downgrading the extension back to 4.35.0 fixes the issue, so this looks like a regression.