Hello @antoniobriones, welcome to the community and sorry for the delay 
Some rules are available on SonarQube but not on SonarLint, so it could be one reason. Also, in addition to setting up a connection like you did, you need to also configure a project binding. Could you please double-check if this step is complete?
If your issue persists, would you be able to enable verbose logs and provide full output, please?
Best,
Sophio