Stumbled for a few hours on this these days ... tried all the tricks in the book, including http://axfaq.blogspot.ro/2013/04/net-business-connector-ax-2009.html . However, since it didn't work either way I tried it, I started again (for the fourth time) the setup of EP.
I erased everything and performed the setup of the 1st item, the SP Web Application. I realized the missing item: the application pool that I was using was the wrong one. Clicking next next won't set this the way you require it. So be careful next time.