Sounds like there could be two separate issues at play here.
The issue I referenced earlier relates to usb drivers (and which the latest FW firmware from a couple years ago did not fully resolve). If the usb driver is not recognized, then nothing can connect to the FW (inside or outside SGP).
However, if @wglogowski does not see this kind of entry in his Device Manager:
and still cannot connect to FW within SGP (but can from other apps), then that sounds like a separate issue.
FWIW, as long as Device Manager is recognizing my FW usb driver correctly, I have never had an issue with connecting to the FW from within SGP (both regular and MAXI wheel). I am currently on 18.104.22.168.
And I am starting to agree with comments above about SX FW’s and truly remote obsy’s (recommendations anyone?).