One possibility is that you don't have the appropriate Service enabled to allow for this connection.  This is pretty easy to check, from the SMP go to:
System Administration > Security > Auditing

If auditing isn't enabled then Enable it and run your test again, then go into View Audit Database and see if there is an access error logged.

It is quite possible that you don't have the Call-in service enabled (I don't think it is by default in Normal or Locked Down instances).  From the first .Net documentation link you provided:

[quote]

If InterSystems IRIS has been installed with security option 2, open the Management Portal and go to System Administration > Security > Services, select %Service_CallIn, and make sure the Service Enabled box is checked. If you installed InterSystems IRIS with security option 1 (minimal) it should already be checked.

[/quote]

Check that out and report back if it solved your issue.