SUMMARY:
This issue is currently working as designed and there is an enhancement logged with Strategy technology in order to improve the functionality. The impact is limited to connecting to a Web Service that uses SSL and client certificates. A solution/code fix for this issue is not available in current releases but is being reviewed for a future Strategy release.
SYMPTOM:
After testing a Web Service that returns the needed data, and filling up the information for the connection to the Web Service using the steps provided in the Advanced Reporting Guide, when trying to finish the setup and connect, the following error shows:

mstr-rest:: post() failed. HTTP error encountered while trying to access a REST service. Error type: XQuery Engine error
CAUSE:
This is working as designed. Currently it is not possible to retrieve data from a Web Service that uses SSL and client certificates using XQuery. An enhancement has been logged to allow for this functionality.
ACTION:
Strategy will continue to investigate and post updates as soon as they are available.