Hard to tell...
1. When compiling BitsharesX, did you follow the instructions to make buildweb ?
2. On linux, when using bitshares_client instead of the BitSharesX binary, it uses a different config.json file, mainly :
bitshares_client uses ~/.BitsharesX/config.json and
BitsharesX uses ~/Bitshares X/config.json
did you edit the correct one with the RPC user and password?
I don't really use windows so much except at work, and even then I load a Linux VM, so it's hard to tell what the problem is. From the error message you're getting it seems like the tunnel is working correctly. Let me know what's up after you check points 1 and 2.