Hello NaN,
According to nx_api.h header file, 0x38 stands for NX_NOT_CONNECTED. Try using nx_ip_status_check(&ip_0, NX_IP_INITIALIZE_DONE, &actual_status, NX_WAIT_FOREVER); to hold up processing until connection is made before proceeding with nx_tcp_client_socket_connect API call.
Also, on DK-S7 board, please remember to set the drive capacity of the ethernet pins to medium.
Regards