As you understand, the Service and configurator of USB to Ethernet Connector have to communicate via the network to establish connection. And thus, you need to configure your firewall to allow UsbService.exe and UsbConfig.exe to send/receive data over network.
To achieve that, you should add "usb_service.exe" and "usb_config.exe" to firewall "Exceptions" list:
To add the TCP ports to firewall "Exceptions" list, please perform the following:
As an alternative, you may disable firewall. It guarantees that connection requests will pass. Please, note, that disabling firewall may be potentially dangerous to your PC. Be sure to enable firewall again once you finish using the remote device.