The connection is not established.
Solution
Remote Desktop Manager calls the command line interface (CLI) with supported parameters.
At this time (v4.9), the executable can be found in:
C:\Program Files\Dell SonicWALL\Global VPN Client\SWGVC.exe
Call it as follows:
SWGVC.exe /E connection_name /U username /P password
The CLI must be able to connect, Remote Desktop Manager does not perform anything additional to make it work.