In a remote situation the host & remote are one and the same:
In Connection Manager - specify the connection to the SQL Server - in here, set connection as (Local) - unless you are using a named instance - in which case, go with standard hostname but make sure it resolves and tests. The connection will use a provider which should be SQL Native client. You will use sysdba/masterkey as login details.
In SLX Client (Admin, Architect etc) you will then define the connection (using Data Link Manager, the ellipses) to create a connection to the provider. In here you will drop down the SLX server and then the connection defined above. You will use the SLX Username/password here.
However: On logging in - it will interrogate the server via connmgr and attempt to open the same connection that SLX Server does - using the same SQL Provider (SQL Native Client) so it will hit the same firewall issues as if it were connecting across the network. So, using firewall manager ensure the SQL Server ports are open and also ports 1706-1707. I generally create a rule that enables 1706-1707,1433-1434 to enable all.
Also, run CliConfig and make sure the connection settings are TCP-IP.