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When the plugin configuration is set up properly it just works. However when it doesn't work it can be tricky to discern the issue given the two different platforms trying to authenticate, authorize, and communicate across different servers using a common protocol implemented in different ways.
Here are some things to check we've encountered in the past.
Make sure the client-config.wsdd file has been properly written to the WEB-INF/classes directory. The plugin tries to do this but in some cases it doesn't work possibly because the user Confluence is running as doesn't have write permissions on that directory.
Also make sure that the file is roughly 446 bytes, not zero length.
You can log into SharePoint with any user authorized to SharePoint. The recommended way from Microsoft would be to use domain (Active Directory) accounts. However, you can only use domain accounts if the SharePoint server(s) are part of the domain.
Make sure the account provided is a site administrator within SharePoint for the lists in all sites accessed through the sp-list macro. Using a site collection administrator account can ensure this.
If you type into your browser: http://my-sharepoint-server and it then resolves or is forwarded to something like http://my-sharepoint-server/site
then your 'SharePoint Server' setting on the plugin's config screen needs to be: my-sharepoint-server/site
This thread is related to this issue.
To make sure you have to latest version of the plugin check the plugin's latest version info here against your plugin's version. You can find your currently installed plugin's version by going to Administration -> Plugins and then navigating down to the 'SharePoint Plugin' and clicking on it to reveal the version info.
If you have SharePoint set to use other authentication methods such as kerberos the Connector won't work from the Confluence side.
It is possible that if you have a proxy for the ports set up between the server running Confluence and the server(s) running SharePoint that the proxy is interfering with the web service communications.
You should be able to check whether this is the case by starting a browser on the machine hosting Confluence and accessing SharePoint. Make sure proxy settings in your browser are disabled, removed / turned off and restart the browser.
You may also want to check out the Technical FAQ which includes some additional detail related to connection troubleshooting.