Hi, referring back to an earlier discussion in post
I can confirm that I have had quite some problems to connect SGP to my D800 (and also to a D850 I have at hand). My problem description is the same as yours above, i.e. the Nikon connect problem seems to be consistent for at least Nikon D850, D800 and D7500.
For the moment, with SGP 3.1.0.544, I would say that the D800 never connects at first attempt from SGP. However, by restarting SGP with camera on and “USB-connected” after the first attempt, I am normally available to connect by the second attempt. Until a more stable driver for Nikon cameras has been included in SGP, I can therefore only recommend you to repeat yor connection attempts after restart of SGP, the camera or the entire PC.