Permission denied: Connect means it’s your local machine refusing to allow Studio Pro to initiate the connection.
Are you running any local firewalls, antivirus, or network filtering tools? If you are check if you need to grant Studio Pro permission to use the network.
Problem
Indeed what Robert says, my local machine is refusing to setup the connection. I don't know exactly the details why. Other colleague from an other network was able to make a connection, but I was not.
Solution
First I could connect via a proxy server. I used Proxifier for that. And I was able to setup a connection.
But the final solution was the setting 'Runtime port security’.
This initially was set to Open to other machines. When i changed it to Open to current machine the connection was made correctly. Also without proxy server.
Also thanks to Bob van Heijster