No. I didn't think I would have support from anybody other than the community. I just started using the Workspace yesterday and yes, this is the first time I have run into this problem. I am not sure what background information you need but here is what I have.
-- Windows XP SP2
-- Outlook 2003 SP3
-- As soon as I click "Connect to Outlook" from the To-Do List page, I get this error: "Outlook can't add the requested Windows Sharepoint Services folder. Contact the Windows Sharepoint Services site administrator."
-- However, I can connect the Contacts and Event List to Outlook with no problem. and I can edit and save Word or Excel documents from the original program back to Workspace without any problem either.
Let me know if there are anything else I can provide for troubleshooting. Thank you.
-- Edited on 10/31
-- I just tried this on a Windows Vista and Outlook 2007 machine and it worked. So it must have something to do with Office 2003 or XP.