Setting a sprint in Jira does not set or update the iteration in Rally.
If a sprint/iteration mapping is configured to "Sync Value Type" "By Value", ConnectALL will do an initial lookup in Rally by iteration name to retrieve the internal ID of the iteration name.
If the Rally API does not find the iteration name, it will return zero results and ConnectALL will not set the iteration on the Rally item.
Ensure the iteration exists in the target Rally project.
Ensure there are no trailing spaces in the Rally iteration name. It may be necessary to use inline edit from the Timebox Iteration list view to reveal these as the Name field on the details page will trim any trailing spaces from the view, even if they exist in this state in the API.