How to resolve error creating universal data connection file (.udcx)?

Trying to follow along to create a Data Connection Library but run into the following error:

The specified location does not exist or could not be opened. Choose a data connection library on a server running Microsoft SharePoint Server and specify a valid filename.

I was able to create the SharePoint Data Connection Library. Then I move to the To create a new data connection file in InfoPath section. I get to step 7 and encounter the error before I can finish.

I have my dataconnectionlibrary Data Connection that I just created highlighted.

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I click Convert to Connection File button. Then as instructed, I put the address of the SharePoint Data Connection Library in followed by a chosen filename then the .udcx extension.

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I hit OK, and at first, it looks like it’s going to work, like everything’s normal:

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Nope:

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This happens no matter which Connection link type I choose (Relative to the site collection OR Centrally managed connection library). This happens no matter where I specify to put the file; I can Browse to my own Documents folder and it still gives me this error.

Looking for any kind of help on this one. Trying to create the Data Connection Library due to 5566 error trying to auto populate user info with GetUserProfileByName using SOAP in InfoPath form. Is there a workaround, a different way to create the .udcx file? This is so frustrating, running into error after error just trying to auto-populate a Person Picker control.