This is because of the emulate cloud security setting.
In Mendix Cloud v3 there is a list of defined JVM actions that an app is allowed to execute. The Modeler ships with the same list, but it is not updated anymore after installation. So a Modeler from 6 months ago will contain the blocklist of (at least) 6 months ago.
I've just verified that the exception you are running into is already included in Mendix Cloud v3. I've asked the team for the Modeler to ensure the up to date list is shipped with the next Modeler release.
To solve your current issue you can either disable cloud security or add the exception above to the policy list manually in your installation in C:\Program Files (x86)\Mendix\X.Y.Z\modeler\runtemplates\deployment\data\security.policy. After that, restart your app locally and you should not experience this problem anymore.
Hope this helps!
Have you read the documentation? There are some dependencies. Perhaps some jars are missing in your UserLib folder?
https://github.com/mendix/IBM-Watson-Connector-Suite