You need to run the connection tools on the server hosting the "Lansweeper Server" service. It doesn't matter which directory you run the tools from.
You can ignore the "Version: Executable not found" and "Warning: Lansweeper service not found" messages. These are due to a bug in the latest releases of the tools. As long as you see "Status: Running" under "Scanning Lansweeper Service", you're good to go.