What is the definition of Windows environment variable MS? To deduce its value from your screenshot, it looks like
E:\Program Files\Bentley\MicroStationCONNECT
That is, there is no space between MicroStation and CONNECT (\MicroStation CONNECT)? Also, there is no trailing terminator. It should look like
E:\Program Files\Bentley\MicroStationCONNECT\
Then the path to the SDK folder can be deduced correctly as
E:\Program Files\Bentley\MicroStationCONNECT\SDK\
and not
E:\Program Files\Bentley\MicroStationCONNECTSDK\
Or have you created your own folder for the SDK which is
E:\Program Files\Bentley\MicroStationCONNECTSDK\