Now i understand your problem Sadly we don't have enterprise version of Nintex but as I see from your picture Secure store target application ID is optional. And I think you don't need it because you are querying from SharePoint and Windows Authentication is NTLM authentication which by it self is safe. And if it is still not working i think because the request nature. ASMX service need soap envelope request which is in XML format. But if you use SharePoint 2013 it has restful API which doesnt use soap.
No problem mate. But I think you should try to connect with Nintex Support to explain in detail how and why you need this secure store target application. It would be great and helpful info to all community to understand why.
This is a new control found in the Enterprise Editon, it allows you to do Web Requests and SQL queries directly on the form. So its "Forms Enterprise" to be more exact. Nintex released it only a couple months back. Check it out.