Thought I'd write a blog post on this as I've not seen an answer to this anywhere.
When creating a new CRM user in Eloqua, you don't receive any feedback informing you of whether the new user has actually successfully connected to the CRM itself. You just see the following message informing you that the user has been created in Eloqua.
You then enter the Login credentials, from Salesforce in this case, click save and close, and the CRM user is believed to be setup.
However after recently setting up a new user to connect to a new SFDC instance, I encountered this error message while creating a new inbound external call run by the new CRM user. Specifically at the Filter Details step.
This appears to be the quickest way to see if the CRM user's details entered are correct. After checking with the client, the security token was incorrect, and after supplying new details, the same Filter Details screen loaded successfully. Hence I knew my CRM user had now successfully connected to the new SFDC instance.