You mean "connect" on MFT? That is on the main phone screen in MFT. I should note that I never tried this w/3.0.2 or 3.2.2 (after the iOS update) because I was always fighting other problems and it was the furthest thing from my mind. Could require 3.5.1 but I don't know for sure.
Edit: Some over at SMR that could not get it to work on 3.0.2 or 3.2.2 have recently updated to 3.5.1 and have been able to get messages. Confirmation it requires 3.5.1.
.......here's a lockpick. It might come in handy if you, the master of unlocking, take it with you.