The same happens when I try to set up the User Security in Connections.
I can enter a Principal and in “Assign Security” define it, but when I try to save…I get the "You do not have sufficient rights to make the requested security changes. "
Are you attempting to give the new principal more rights on the object than you yourself have? If so, then the problem is because you have the “Securely modify rights users have to objects” on the object, rather than “Modify rights users have to objects”.