SQL Server connection authentication doesn't use integrated security, it's another server, so it uses SQL Server security: there is a specific user that is configured to access the membership DB from ArcGIS Server.
sisal2 is one of the users stored in the membership db and created in the ArcGIS Server manager, its role has grants to access the map service I'm trying to show in ArcMap.
I don't have any problem if I try to access map service via REST protocol.
My guess is that when using SOAP protocol (the one used by ArcMap/Arc Catalog) ther is a problem trying to connect to the db server (I mean something related to ports, protocols, etc.)