Short answer is that this specific type of web service is not supported by Mendix.
Long answer: The problem with this web service is how the responses of the web service operations are defined. All the responses look like this:
<s:element ref="s:schema"/>
<s:any/>
Basically all the WSDL is saying about the responses is that they contain some XML, but without specifying any format. I think the intension of the web service is to return any XML structure in combination with an "embedded XSD" that describes the format during runtime, but Mendix needs to know the expected format during design time (otherwise it's impossible to map the response XML to your domain entities). If this is the case, you could try to find out what this "embedded XSD" looks like, and modify the WSDL to use this format to describe the response.
Personally, although a WSDL and SOAP messages are used, I wouldn't even call this a proper web service.