I got this error earlier as well, but managed to create the connection after several hit and try , i.e. by restarting system deleteing and creating connections again etc. But now I am trying from last 2 days and have not get any success.
Thanks for your reply, Yes I cannot create connection set.
I have two connections "Common data service connection" and "D365 F&O connection". I am getting error when trying to create connection set using these two connection (same error that I have attached in the original post).