We couldn't find any issue in the Lightstreamer-related code (apart from the loop with no wait).
I just suggest you should move any initialization code from the Data Adapter constructor to the Init method, but this is not an issue.
You should also ensure that the connection to the DB is open upon subsequent invocations of the Run method, but this should not be a problem at the current stage.

Can you confirm that your concerns are only on DB-related stuff?
Unfortunately, we are not familiar with that.

Where do you get the "UNABLE TO CONNECT" message?
The Data Adapter is supposed to connect in its constructor/Init method, hence, the message could be issued before you ever open the page.
Can you confirm that?

When you run your .NET project from Visual Studio, can you see the constructor and the Init method being invoked?
And after you open the page, can you see the Subscribe method being invoked?